Antonio,
Date sent: Fri, 30 Apr 2004 13:04:56 +0200
From: "Antonio Rodrigues Andres" <[email protected]>
To: <[email protected]>
Subject: st: xtivreg, fd
Send reply to: [email protected]
> Dear Stata users
> I am trying a simple dynamic model with the lagged value of the dep.
> variable as regressor. I pretend to obtain the Anderson-Hsiao estimator
> using yit-2 as instrument but i did not succeed. I should get the same
> results using xtivreg, fd and ivreg with the differenced variables
>
> Does anybody knows why not
>
> sort country year
> by country: gen lsrt_1=lsrt[_n-1]
> by country:gen lsrt_2=lsrt[_n-2]
Does Stata know at this point that your data are panel data? If not,
some of the lags might be messed up. For example, the 1-period lag
for the first time period of observation 2 should be missing, but
Stata might be using the latest time period of observation 1 instead.
If you use tsset and then time series operators to create the lags,
e.g., l2.lsrt instead of lsrt[_n-2], this won't happen and the lags
will be correct.
Hope this helps.
--Mark
> gen dlsrt=lsrt-lsrt_1
> gen dlsrtl=lsrt_1-lsrt_2
>
> Model yt= alpha* yt-1 + eta _i +ut
> variables have been already differenced
>
> ivreg dlsrt (dlsrtl=lsrt_2) using yit-2 as instrument
>
> tsset country year
> xtivreg lsrt (lsrt_1=lsrt_2), i(country) fd
>
> Regards
> Antonio
> *
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
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* http://www.ats.ucla.edu/stat/stata/
