Judy,
Perhaps you should consider vecm?
- Regards,
Bob
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: "Abrams, Judith" <[email protected]>
Date: Thursday, July 9, 2009 1:56 pm
Subject: st: RE: RE: RE: ivregress with cointegrated variables
To: [email protected]
> It was a response to the wrong e-mail. My apologies for the confusions.
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Podesta',
> Federico
> Sent: Thursday, July 09, 2009 11:09 AM
> To: [email protected]
> Subject: st: RE: RE: ivregress with cointegrated variables
>
>
> Many thanks Judith
>
> Could you clarify you answer of course?
>
> Best
> F
>
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On Behalf Of
> > Abrams, Judith
> > Sent: Thursday, July 09, 2009 4:57 PM
> > To: [email protected]
> > Subject: st: RE: ivregress with cointegrated variables
> >
> > Of course.
> >
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On Behalf Of
> Podesta',
> > Federico
> > Sent: Thursday, July 09, 2009 10:54 AM
> > To: [email protected]
> > Subject: st: ivregress with cointegrated variables
> >
> >
> > Dear all,
> >
> > I am using a panel dataset composed by 16 units observed over 21
> time
> > points. all variables measured as levels are affected by the
> > non-stationarity problem. Accordingly, I have adopted mean group
> > estimator (via xtpmg Stata module) for testing for co-integration.
> In
> > particular I have used the following STATA syntax:
> >
> > xtpmg d.y d.x1 d.x2, ec(ec) lr(l.y l.x1 l.x2) replace
> >
> > My results reveal that the variables tend to return to a long-run
> > equilibrium. Nevertheless, x2 appears as a endogenous variable.
> > Consequently. I would like to use IV estimator. However no Stata
> > command allows to estimate IV regression with panel integrated
> > processes. Consequently, I mean to run IV regression in a repeated
>
> > cross-section framework. In particular I would use the following
> > syntax
> >
> > bys year: ivregress y x2 (x1= x3)
> >
> > but I wonder whether it is correct estimate such repeated
> > cross-section
> > models when we have already obtained evidence about cointegration.
> In
> > other words can I test for cointegration without use IV estimator,
> on
> > the one hand, and estimate IV repeated cross-section models, on the
> > other hand?
> >
> > Thanks a lot in adavance for any your hel
> >
> > Best
> > Federico
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
> >
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