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From | Parfait Gasana <parfait.gasana@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: two stage least squares for panel data |
Date | Thu, 23 Aug 2012 09:14:06 -0500 |
Excellent! Thanks Austin, turns out I had missing observations that I had to clean up to get an error-less xtivreg but your suggestions below with xtivreg2 and the dummy variable route works optimally! Parfait On Wed, Aug 22, 2012 at 10:50 AM, Austin Nichols <austinnichols@gmail.com> wrote: > Parfait Gasana <parfait.gasana@gmail.com>: > Per the FAQ, you should show what you typed and what Stata responded. > You should probably use -xtivreg2- as well, for the superior output: > > ssc inst ivreg2 > ssc inst xtivreg2 > xtset state year > xtivreg2 y x1 (x2=z), fe cl(state) > > You can also include 51 dummies in a call to -ivreg2- or -ivregress-. > > qui ta state, gen(d_) > ivreg2 y x1 d_* (x2=z), cl(id) > > On Wed, Aug 22, 2012 at 9:27 AM, Parfait Gasana > <parfait.gasana@gmail.com> wrote: >> Hello all, >> How can I estimate two-stage least squares or instrumental variable >> regression with panel data? I tried xtivreg but receive the error: the >> sample specifies cross-sectional data, xtivreg is not designed for >> cross-sectional data. However, my data is in long format with repeated >> indicators (here the. 50 U.S. states and DC) across 5 years. Hence, a >> sample size of 255. Also, I am sure I ran xtset, setting up the panel >> and time variables. And all my instruments are nonmissing for every >> observation. >> >> What's more, I am able to successfully run a xtreg command. I >> understand xtreg can use cross-sectional data. So, am I working with >> cross-sectional data and if so, how do I get a time-dynamic dataset? > * > * 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/ * * 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/