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Re: st: RE: xtivreg


From   Lanciné Condé <condela73@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: xtivreg
Date   Fri, 11 Feb 2011 13:33:50 +0100

Dear Pr. Schaffer
Thank you for your first advises.  But, I still have the same
difficulties. As I already said, I want to appreciate the effects of
the monetary union participation on the economic performances, mesured
through the growth rate of the real GDP by head (y). the right hand
variables are the following:


- The monetary union dummy (cu) which takes 1 if the country under
consideration is a monetary union participant (Franc Zone countries,
plus Rand area countries), 0 otherwise. Taking in account the
historique relationship between monetary union countries, the umoney
variable is supposed to be endogenous. So it instrumented by another
dummy called antcol, which takes 1 when the country under
consideration have been colonised by the major colonizer country of
the sub-region, 0 otherwise.
- muet1, a dummy which takes if the country does not have sea coast;
- muet2, a dummy which takes 1 if an active monetary union exists in
the region of the country under consideration;
- muet3, a dummy which takes 1 if the country has been hit by
political instabilities or civil wars;
- x1, a proxy of Balassa-Samuelson effect;
- x2, the total population growth rate
- x3, a proxy of the total investissement
- x4, the inflation rate
- x5, the central gouvernment spenditure
- x6, a proxy of the openness

My equation of interest is the following:
xtivreg d.y (cu=h) muet1 muet2 muet3 d.x1 d.x2 d.x3 d.x4 d.x5 d.x6, first.

The correlation between variables is not equal to 1 and the instrument
(h) is varing over time. The implementation of following command -
xtreg h,fe - return as answere:

xtreg h, fe
Fixed-effects (within) regression               Number of obs      =       950
Group variable: country                           Number of groups   =        38
R-sq:  within  =      .                               Obs per group:
min =        25
      between =      .
       avg =      25.0
         overall =      .
       max =        25

F(0,912)           =      0.00
corr(u_i, Xb)  =      .                                    Prob > F
       =         .
------------------------------------------------------------------------------
     h      |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      _cons |   .6578947          .        .       .            .           .
-------------+----------------------------------------------------------------
    sigma_u |  .48078291
    sigma_e |          0
        rho |          1   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0:     F(37, 912) =        .             Prob > F =      .

When I implement the xtivreg command, I am using le default option GLS
and the return is as follow:

xtivreg d.y (cu=h) muet1 muet2 muet3 d.x1 d.x2 d.x3 d.x4 d.x5 d.x6, first, first

First-stage G2SLS regression
                                                Number of obs    =        912
                                                Wald chi(10)     =        539
                                                Prob > chi2      =     0.0000
------------------------------------------------------------------------------
     cu     |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      muet1 |  -.0206403   .0276052    -0.75   0.455    -.0747454    .0334648
      muet2 |    .511889   .0442444    11.57   0.000     .4251716    .5986065
      muet3 |  -.0275062   .0350349    -0.79   0.432    -.0961733     .041161
            |
         x1 |
        D1. |  -10.24638   1.991216    -5.15   0.000     -14.1491   -6.343671
            |
         x2 |
        D1. |  -.0026825   .0238177    -0.11   0.910    -.0493643    .0439993
            |
         x3 |
        D1. |   .0000864   .0003503     0.25   0.805    -.0006001     .000773
            |
         x4 |
        D1. |  -1.45e-07   .0000107    -0.01   0.989    -.0000211    .0000208
            |
         x5 |
        D1. |   .0000201   .0049138     0.00   0.997    -.0096108     .009651
            |
         x6 |
        D1. |  -.0007695   .0012583    -0.61   0.541    -.0032358    .0016967
            |
          h |   .5528577   .0284752    19.42   0.000     .4970473    .6086681
      _cons |  -.3905693   .0497611    -7.85   0.000    -.4880993   -.2930394
------------------------------------------------------------------------------
G2SLS random-effects IV regression              Number of obs      =       912
Group variable: country                         Number of groups   =        38
R-sq:  within  = 0.2238                         Obs per group: min =        24
      between = 0.0063                                        avg =      24.0
      overall = 0.2216                                        max =        24
                                               Wald chi2(10)      =    256.72
corr(u_i, X)       = 0 (assumed)                Prob > chi2        =    0.0000
------------------------------------------------------------------------------
   __000003 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
        cu  |  -.3224284   2.902101    -0.11   0.912    -6.010442    5.365585
      muet1 |  -.5010761   1.542581    -0.32   0.745     -3.52448    2.522328
      muet2 |  -.1100118   2.807213    -0.04   0.969    -5.612047    5.392024
      muet3 |   .1415018    1.98299     0.07   0.943    -3.745088    4.028092
            |
          x1|
        D1. |   305.6057   115.0715     2.66   0.008     80.06972    531.1418
            |
         x2 |
        D1. |   .6515786   1.342214     0.49   0.627    -1.979112    3.282269
            |
         x3 |
        D1. |   .3058186   .0197351    15.50   0.000     .2671385    .3444987
            |
         x4 |
        D1. |   -.000037   .0006026    -0.06   0.951     -.001218     .001144
            |
         x5 |
        D1. |  -.0870872    .276872    -0.31   0.753    -.6297464    .4555721
            |
         x6 |
        D1. |  -.1354545   .0710059    -1.91   0.056    -.2746234    .0037144
            |
      _cons |   .6136019    2.57388     0.24   0.812    -4.431111    5.658315
-------------+----------------------------------------------------------------
    sigma_u |          0
    sigma_e |  22.526807
        rho |          0   (fraction of variance due to u_i)
------------------------------------------------------------------------------
Instrumented:   cu
Instruments:    muet1 muet2 muet3 D.x1 D.x2 D.x3 D.x4 D.x5 D.x6 h
------------------------------------------------------------------------------


To got some necessary statistics, the implementation of the command
below are not work:

xtivreg2 d.y (cu=h) muet1 muet2 muet3 d.x1 d.x2 d.x3 d.x4 d.x5 d.x6,
first, first

Sincerely
CONDE

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