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st: ML with fixed effects and IV?
From
aslihan arslan <[email protected]>
To
statalist <[email protected]>
Subject
st: ML with fixed effects and IV?
Date
Wed, 18 May 2011 00:54:45 -0700 (PDT)
Dear Statalisters,
I am trying to estimate the determinants of different sources of household income simultaneously using a short panel data with t=2. My main rhs variables of interest are endogenous, therefore I also need to use instruments. I realize these may be too many econometrically difficult estimations put together, but I'd appreciate if anyone has suggestions as to how to do an ML+IV+Fixed Effects regression for all income sources.
I have seen Stephen Jenkins' post last November (http://www.stata.com/statalist/archive/2010-11/msg00327.html), but seems like there is no follow-up on that panel-ml yet. Even if panel-ml was available, I'll still need to figure out how to do IV. If I manually include the first step predicted values of endogenous rhs variables in a panel-ml program, would the "robust" standard errors also take care of the IV adjustment?
Lastly, I already tried xtivreg2 (IV+GMM) giving up on the system estimation based on Christopher Baum's advice that reg3 is very limited and sur cannot handle IVs, and IV+GMM is advisable in that case (http://statalist.1588530.n2.nabble.com/Re-st-st-Simultaneous-Equations-Model-amp-GMM-Estimation-td5308431.html). These results did not make much sense and I thought taking into account the cross equation correlations of error terms in different income sources may improve results.
Thanks in advance for any ideas,
Best,
Aslihan
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