Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Tricky IV-Problem and how do I correct Standard Errors in the Second Stage?


From   Benjamin Niug <benjamin.niug@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Tricky IV-Problem and how do I correct Standard Errors in the Second Stage?
Date   Tue, 29 May 2012 11:36:50 +0200

Hi Stata-users,

Here is background information:

- Dataset: I have a T=2 panel dataset with approximately 5000 observations.

- Sampling: Observations are sampled across different localities (e.g.
20 observation per locality).

- Estimation Goal: I want to run a IV-regression accounting for FE and
clustering at the individual level.

- I am using Stata 11.

Here comes the issue:

The explanatory variable that is endogenous (to be instrumented) takes
on the same values for observations in the same locality. Hence, I
want to run the first stage regression using averages of exogenous
variables per locality as exogenous instrumental variables. Hence,
there would some further level of aggregation in the first stage (with
5000/20=250 observations).

Questions:
1. Is there a Stata command that can estimate this somewhat tricky
Two-Stage Regression? (no Stata command that I am aware of).
2. If I run the first stage regression by hand: How do I correct the
standard errors in the second stage?

Thanks in advance.

Best regards,
Benjamin
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index