You are using both xtreg and xtivreg to estimate "random effects"
models. The two-step procedure you are using for 2SLS is incorrect
and is not equivalent to Stata's default "random effects" estimator
for xtivreg, G2SLS.
Have a look at the manual and at a panel data book like Baltagi's to
understand how to do 2SLS with random effects by hand correctly.
--Mark
Quoting Stephanie Zobay <[email protected]>:
> Dear Listers,
> I am not understanding the difference between manually doing
> a 2SLS and
> letting Stata do it with xtivreg.
> I estimated each of 2 endogenous variables separately, saving
> the predicted
> values:
>
> xtreg srev2 unemp pctmdcaid pctprsner gsp2 popgrow
> . predict srevhat
> (option xb assumed; fitted values)
>
> . xtreg lrev2 pcy1 tel pctschkid pctincpcrime taxbur
> . predict lrevhat
> (option xb assumed; fitted values)
>
> Then I ran my regression using the predicted values for the
> endogenous
> variables:
> . xtreg staid2 srevhat lrevhat fdstss2 fdstot2 fedss2 fedoth2
> lbal
>
> The result I get is completely different than if I use:
> xtivreg staid2 fdstss2 fdstot2 fedss2 fedoth2 lbal (srev2
> lrev2 = unemp
> pctmdcaid pctprsner gsp2 popgrow pcy1 tel pctschkid
> pctincpcrime taxbur
> fdstss2 fdstot2 fedss2 fedoth2 lbal)
>
> What is the difference and how do I know which result is
> correct?
>
> Stephanie
>
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
Prof. Mark Schaffer
Director, CERT
Department of Economics, School of Management
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.som.hw.ac.uk/ecomes
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*
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