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Re: st: constant variable as IV in panel?

From   Austin Nichols <[email protected]>
To   [email protected]
Subject   Re: st: constant variable as IV in panel?
Date   Wed, 10 Aug 2011 11:06:55 -0400

Abhimanyu Arora <[email protected]>:
You report having variation across years within panel, so (a) should work:
"For all months in a year, take the same (annual) value of the yearly variables"
but include year and month dummies and cluster by both panel and year
using -ivreg2- on SSC.
See refs in that program's help file.

On Wed, Aug 10, 2011 at 6:41 AM, Abhimanyu Arora
<[email protected]> wrote:
> 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
> following
> (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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