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re:st: xtivreg first stage

From   Christopher F Baum <[email protected]>
To   <[email protected]>
Subject   re:st: xtivreg first stage
Date   Thu, 6 Jan 2011 14:31:41 -0500

I am running a fixed effects xtivreg.
I am interested in the coefficients of the first-stage regression, and
have, therefore, specified "fe, first".
The result is a table in which the dependent variable is __000003 ,
and in which all instruments appear, both included and excluded.
Can anyone explain the meaning of this result?

The depvar in that regression will be a tempvar if you have applied a timeseries operator, e.g. with grunfeld.dta,
 xtivreg invest (D.mvalue=kstock) time, fe first
will give __000003 as the depvar. The FSRs in any IV method are the regressions of each RHS endog on ALL exog, included and excluded.

You might prefer the more elegant handling of FSRs in B-S-S ivreg2 and S-S xtivreg2, available from SSC. There are some options available there to save the FSRs as separate sets of estimates, etc. as well as additional diagnostics.


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

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