xtivreg using as instruments the same regressors gives the same result
that doing it by hand
Yes, you get the same results.
*FIRST DIFFERENCES
. xtivreg lsrt ($xvars=income unempl), fd
First-differenced IV regression Number of obs =
276
Group variable: country Number of groups =
21
R-sq: within = 0.0096 Obs per group: min =
3
between = 0.8987 avg =
16.9
overall = 0.3945 max =
37
chi2(2) =
4.12
corr(u_i, Xb) = -0.5904 Prob > chi2 =
0.1277
------------------------------------------------------------------------------
d.lsrt | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
income |
D1 | -.0176139 .0088856 -1.98 0.047 -.0350292
-.0001985
unempl |
D1 | -.0041495 .0044982 -0.92 0.356 -.0129659
.0046669
_cons | .005815 .005735 1.01 0.311 -.0054254
.0170553
-------------+----------------------------------------------------------------
sigma_u | .42097985
sigma_e | .05951118
rho | .98040789 (fraction of variance due to u_i)
------------------------------------------------------------------------------
Instrumented: income unempl
Instruments: income unempl
. regress dlsrt dincome dunempl
Source | SS df MS Number of obs =
276
-------------+------------------------------ F( 2, 273) =
2.06
Model | .014576629 2 .007288314 Prob > F =
0.1297
Residual | .966851358 273 .00354158 R-squared =
0.0149
-------------+------------------------------ Adj R-squared =
0.0076
Total | .981427987 275 .003568829 Root MSE =
.05951
------------------------------------------------------------------------------
dlsrt | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
dincome | -.0176139 .0088856 -1.98 0.048 -.0351068
-.0001209
dunempl | -.0041495 .0044982 -0.92 0.357 -.0130051
.0047061
_cons | .005815 .005735 1.01 0.312 -.0054755
.0171054
------------------------------------------------------------------------------
>>> [email protected] 05/05/04 12:27 AM >>>
Kate,
Quoting Kate Ivanova <[email protected]>:
> Hi Mark,
>
> I tried to run xtreg, fd (first-differencing without instrumenting)
> as you
> suggested but I could not find this option in the xtreg command.
> There is
> xtivreg, fd but then this is for estimation with instrumental
> variables. Is
> there any other way to estimate a first-differenced model without
> instrumenting?
Funny, I thought it would be there.
I suppose you either have to try to trick xtivreg into running an
uninstrumented equation by specifying the same instruments as regressors
-
and it might be too clever to be fooled - or you have to first
difference
by hand.
--Mark
> Thanks!
>
> Kate
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Kate
> Ivanova
> Sent: Monday, May 03, 2004 10:02 AM
> To: [email protected]
> Subject: RE: st: xtabond and OLS for separate years
>
> Mark,
>
> Thank you very much for your suggestions. They are very helpful.
> Yes, I did
> mean OLS in cross-section so I'll now compare it to the estimators
> you
> specified below. I'll get back again when I have the results. Thanks
> a lot!
>
> Kate
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Mark
> Schaffer
> Sent: Monday, May 03, 2004 4:09 AM
> To: [email protected]
> Subject: Re: st: xtabond and OLS for separate years
>
> Kate,
>
> Date sent: Sat, 01 May 2004 17:59:00 -0700
> From: Kate Ivanova <[email protected]>
> Subject: st: xtabond and OLS for separate years
> To: [email protected]
> Send reply to: [email protected]
>
> > Hi,
> >
> > I am confused by the results I get using xtabond. I have a panel
> of 116
> > countries over 10 years and when I run separate regressions for
> each year
> > using OLS, my variables (income and income squared) are highly
> significant
> > (at a 0.001 level). But when I run xtabond with one lag of the
> dependent
> > variable, they are not significant at all. I wonder why I have
> such a
> > difference between the results. Any help, any ideas would be
> greatly
> > appreciated.
>
> It's hard to tell exactly what's going on from the info you've
> provided, but there are at least two possibilities:
>
> 1. You are comparing OLS in cross-section (yes?) and xtabond, which
>
> you can think of as a first-difference estimator with instrumenting.
>
> Each of your cross-sections uses the cross-sectional variation
> across
> 116 countries in any year; xtabond using only the time-series
> variation within countries.
>
> A better comparison would be to leave the instrumenting out of it
> for
> the moment, and compare:
>
> OLS period-by-period (uses only cross-sectional variation)
> Between estimator (also uses only cross-sectional variation)
> Fixed effects (uses only "within", i.e., time-series, variation)
> First differences (also uses only "within" variation)
> Random effects (uses both "within" and "between" variation)
>
> 2. xtabond is an IV estimator, and the results you get will depend
>
> on the instrumenting. You can compare the xtabond results with the
>
> results from first-differencing without instrumenting (xtreg, fd),
>
> for example, and see what happens.
>
> Hope this helps.
>
> --Mark
>
> >
> > Kate
> >
> >
>
>
> 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
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
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>
> *
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>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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