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Re: st: IV regression with time invariant instrument


From   Richard Herron <richard.c.herron@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: IV regression with time invariant instrument
Date   Wed, 9 May 2012 10:20:46 -0400

@Danielle, I think you will need to find an instrument with some
variation. If the instrument isn't correlated with the endogenous
regressor (or anything for that matter), then it can't help identify
your model.

Richard Herron


On Wed, May 9, 2012 at 8:38 AM, daniele curzi <dancurzi@gmail.com> wrote:
> Dear Statalist,
>
> I have to run an IV regression with fixed effects for a panel. The problem
> is that one of the instrument that I have to use is time-invariant, so in
> the first stage it is automatically omitted. I read something about the
> command xthtaylor, but it produces a random effect estimation.
> I cannot use the ivreg command with dummies for the group variable (id)
> because they exceed the maximum number allowed.
>
> Someone could give me any suggestion?
>
> Thank tou very much
>
> D.
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