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Re: st: RE: xtivreg2 with lagged variables


From   Giacomo Pallaro <giacomo.pallaro@studenti.unipd.it>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: xtivreg2 with lagged variables
Date   Tue, 22 Oct 2013 19:12:14 +0200

Mark,
I tried to perform the two stages separately, using twice - xtreg,fe .

xtreg L.endog_var L.instrument1 L.instrument2 L.married L.age L.age2, fe
predict instrumented_var
xtreg depvar L.instrumented_var married age age2, fe

Doing so I have the advantage to do what I want but I lose the first
stage post-estimation statistics that are automatically provided by
xtivreg2. That's why I asked for a way to reach the result as in the
case of  two saparated stages but using xtivreg2.
If I have well understood this is not feasible, isn't it?

Giacomo

On Tue, Oct 22, 2013 at 6:48 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> 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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