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st: RE: xtivreg2 -- Instruments dropped
From
DE SOUZA Eric <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: xtivreg2 -- Instruments dropped
Date
Sat, 15 Jan 2011 13:01:43 +0100
Check the instruction you have posted:
govr_r does not exist
Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Ivan Png
Sent: 15 January 2011 12:43
To: [email protected]
Subject: st: xtivreg2 -- Instruments dropped
Dear Stata-list:
I'm having difficulty with xtivreg2
Each time, the system drops the instruments for the variable L.utsa.
utsa is a state-time variable that varies across states and times. I checked the instruments: they are state- and time-varying. I don't understand why the system drops the instruments. (I tried xtivreg and it works, but I would like to use xtivreg2 so that I can get cluster standard errors and the diagnostics for weak instruments).
Please help. Many thanks!
Data-set:
http://www.comp.nus.edu.sg/~ipng/research/company_wrkg.dta
Code:
. xtset gvkey year
. xi: xtivreg2 xrdr_ln revtr_ln mktbook_mm ebitdar_ln taxcred ///
(L.utsa = L.govr_r) i.year trend_AL - trend_WY ///
if xrdr_count >= 6 , fe cluster(state_sic)
--
Ivan Png
National U of Singapore
--
Skype: ipng00
T: +65 6516 6807
--
Skype: ipng00
T: +65 6516 6807
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