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st: re: Method for first stage, in xtivreg

From   Kit Baum <>
Subject   st: re: Method for first stage, in xtivreg
Date   Tue, 23 Feb 2010 19:02:48 -0500

Hans said

And get the first stage results. That is fine, but I would like to  
know how it estimates the first stage. I tried to replicate the first  
stage with OLS, RE, BE, FE etc... I cannot get the same results? I  
wonder why?

The discussion of Methods and Formulas in the [XT] xtivreg manual  
entry, for each method, seems perfectly clear. For instance, for  
method FE, after demeaning the within estimator is a two-stage least- 
squares regression of \ytilde on \Ztilde with instruments \Xtilde.  
The FSRs are thus regressions of each \Ztilde on all of the \Xtilde.  
In their notation Z = Y + X1, where Y are included endogenous and X1  
are included exogenous. X = X1 + X2 where X2 are excluded exogenous.  
All straightforward IV setup.


Kit Baum   |   Boston College Economics & DIW Berlin   |
                              An Introduction to Stata Programming  |
   An Introduction to Modern Econometrics Using Stata  |

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