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Re: st: RE: xtivreg
From
Lanciné Condé <[email protected]>
To
[email protected]
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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