Many thanks Bob.
But, Judith wrote: "It was a response to the wrong e-mail. My apologies for the confusions."
So, could you give me your opinion about my original question (see below)?
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
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Robert A Yaffee
> Sent: Friday, July 10, 2009 10:19 AM
> To: [email protected]
> Subject: Re: st: RE: RE: RE: ivregress with cointegrated variables
>
> 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/
> > >
> > >
> > > -----------
> > > Confidentiality Notice: This email message, including any
> > > attachments, is for the sole use of the intended recipient(s)
> > > and may contain confidential and/or privileged information.
> > > If you are not the intended recipient(s), you are hereby
> > > notified that any dissemination, unauthorized review, use,
> > > disclosure or distribution of this email and any materials
> > > contained in any attachments is prohibited. If you receive
> > > this message in error, or are not the intended recipient(s),
> > > please immediately notify the sender by email and destroy all
> > > copies of the original message, including attachments.
> > >
> > > *
> > > * 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/
> > >
> > *
> > * 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/
> >
> >
> > -----------
> > Confidentiality Notice: This email message, including any
> > attachments, is for the sole use of the intended
> recipient(s) and may
> > contain confidential and/or privileged information. If you
> are not the
> > intended recipient(s), you are hereby notified that any
> dissemination,
> > unauthorized review, use, disclosure or distribution of
> this email and
> > any materials contained in any attachments is prohibited. If you
> > receive this message in error, or are not the intended
> recipient(s),
> > please immediately notify the sender by email and destroy
> all copies
> > of the original message, including attachments.
> >
> > *
> > * 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/
> >
> *
> * 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/
>
*
* 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/
