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st: RE: xtivreg2 with lagged variables


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtivreg2 with lagged variables
Date   Tue, 22 Oct 2013 16:48:26 +0000

Giacomo,

This is actually a general IV question, and the answer is the subject of a StataCorp FAQ:

http://www.stata.com/support/faqs/statistics/instrumental-variables-regression/

Short answer: you probably don't want to do it!

--MS

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Giacomo Pallaro
> Sent: 22 October 2013 15:43
> To: statalist@hsphsun2.harvard.edu
> Subject: st: xtivreg2 with lagged variables
> 
> 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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