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st: xtivreg2 with lagged variables


From   Giacomo Pallaro <giacomo.pallaro@studenti.unipd.it>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtivreg2 with lagged variables
Date   Tue, 22 Oct 2013 16:42:58 +0200

Dear all,

I'm running on Stata 12 some IV regressions using xtivreg2 on panel
data and I am wondering whether it is possible to avoid the varlist1
variables to be employed into the first stage.
If I use

xtivreg2 depvar married age age2 (L.endog_var = L.instrument1 L.instrument2), fe

I get
First stage: L.endog_var on L.instrument1 L.instrument2 married age age2
Second stage: depvar on L.instrumented_var married age age2

but for me it is pointless to have - married age age2 - in the first
stage while predicting a variable that is one period back in time. I
wuold like to have - L.married L.age L.age2 - to be coherent with
L.endog_var.
The second stage instead is correct as it is since the endogenous
variable shall be lagged in time with respect to the depvar.

I tried to run

xtivreg2 depvar married age age2 (L.endog_var = L.instrument1
L.instrument2  L.married L.age L.age2), fe

what comes out is that the second stage is the same as before, while
the first stage becomes:
L.endog_var on L.instrument1 L.instrument2 married age age2 L.married
L.age L.age2

and unfortunately is not what I need.
What can I do to reach my goal?

Best regards,
Giacomo Pallaro
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