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st: xtivreg/xtivreg2 - Linear growth model with endogenous variable

From   M M <>
To   "" <>
Subject   st: xtivreg/xtivreg2 - Linear growth model with endogenous variable
Date   Tue, 10 Dec 2013 12:28:47 +0000

Dear all,

I have a linear growth model which I estimate in the following way (random intercept ands slope model):
xtmixed depvar indepvar_time indepvar_a indepvar_b || panel_id:indepvar_time indepvar_a indepvar_b, mle covariance(unstructured)

I have two questions on controlling for endogeneity issues in multilevel models (like the one described above), which I was not able to answer by googling and searching the Stata list archive:

1) If I assume that "indepvar_b" is endogenous, can I apply "xtivreg" or "xtivreg2" to estimate the same model and thus, use the lag of "indepvar_b" as an instrument to control for endogeneity. If no, is there any alternative?

2) If applying "xtivreg" or "xtivreg2" is possible, is there any command to get empirical bayes estimates/BLUP/EBLUP of the random effects (like it is possible with "xtmixed" -

Thanks for your help. 

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