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Re: st: constant variable as IV in panel?

From   Abhimanyu Arora <>
Subject   Re: st: constant variable as IV in panel?
Date   Wed, 10 Aug 2011 17:36:34 +0200

Thank you, Austin.
I have an additional info: my dependent variable is binary and I was
thinking along the lines of -xtlogit-, though. Is it still possible to

On Wed, Aug 10, 2011 at 5:06 PM, Austin Nichols <> wrote:
> Abhimanyu Arora <>:
> 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
> <> 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 <> wrote:
>>> Matthias Opfinger <>:
>>> 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
>>> <> 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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