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Re: st: regress command with panel data


From   David Greenberg <[email protected]>
To   [email protected]
Subject   Re: st: regress command with panel data
Date   Tue, 22 Mar 2011 16:52:59 -0400

Using fixed effects will not solve problems of simultaneity. Treating panel data as if they were not panel data is ill-advised, as doing so ignores the non-independence of observations. These questions suggest a limited familiarity with the special features of panel data, and with the estimators that are designed for use with them. It would be a good idea to look at some recent introductory econometrics textbooks, as many now have one or more chapters on panel data, and then proceed to specialized treatments. That way you will have a better understanding of what you are doing, and of what your options are regarding estimation procedures. David Greenberg, Sociology Department, New York University

----- Original Message -----
From: Tunga Kantarcı <[email protected]>
Date: Tuesday, March 22, 2011 4:46 pm
Subject: st: regress command with panel data
To: [email protected]


> Hello,
> 
> I asked it before but could not get any reply. I would like to recast
> my question. I hope this is not inappropriate.
> 
> I have data in panel format and I declared it as a a panel. All fine.
> I am carrying out a fixed effect regression to overcome the
> endogeneity problem (due to simultaneity) I have in my model. In fact,
> to demonstrate that I have the endogeneity problem, I wanted to
> compare the estimates from a plain OLS regression (regress y x) to the
> estimates from the fixed effects regression (xtreg y x, fe). To carry
> out the OLS regression, I simply run the command "regress y x".
> 
> My question is: If I use the plain "regress y x" command to get the
> plain OLS estimates using the panel data I have, will that regression
> be correct? Will Stata treat my panel data as pooled cross sections?
> Or do I need to instruct Stata with a special command to run the plain
> OLS using my panel data?
> *
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