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Re: st: constant variable as IV in panel?

From   Abhimanyu Arora <[email protected]>
To   [email protected]
Subject   Re: st: constant variable as IV in panel?
Date   Wed, 10 Aug 2011 12:41:15 +0200

Dear statalist
I think this is related to the posts by Matthias Opfinger and Austin
Nichols with an addundum and would like request your intellectually
stimulating views/references. The panel model I am estimating has a
monthly frequency (no IV). But I also have yearly variables (in my
case I have almost 20 years) for each cross section, which I would
definitely like to include. The options that I am considering are the

(a) Related to Matthias' idea-For all months in a year, take the same
(annual) value of the yearly variables
(b) Year dummies-subsumes all (extraneous) yearly variables. But I am
taking a trend.
(c) Take the yearly value for the 6th month and impute the monthly
variables from the series...a risky one

Would be great to have your views and concerns or better alternatives.
(Could hierarchical models come to the rescue?)

With best regards
Abhimanyu Arora

On Thu, Jun 23, 2011 at 2:29 PM, Austin Nichols <[email protected]> wrote:
> Matthias Opfinger <[email protected]>:
> In such a case, you are using only between variation, and it is more
> intellectually honest to run a cross-sectional regression for one
> point in time, or possibly to compute a long difference using a pair
> of years (estimating a cross-sectional regression in changes rather
> than in levels), depending on which assumptions are more plausible
> (plausibility comes from theory not from the data).
> On Thu, Jun 23, 2011 at 5:22 AM, Matthias Opfinger
> <[email protected]> wrote:
>> Hi everyone,
>> I want to estimate a panel model with observations on approx. 90 countries
>> for five points in time between 1980 and 2005. However, one of my
>> explanatory variables is endogeneous. The only possible instrument is a
>> variable on climatic zones. So it would be the same for each country over
>> all points in time. How can I put this into my model? Do I just put the same
>> value for each country over all the points in time and then use xtivreg?
>> Best
>> Matthias
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