Luciana,
Quoting "SURAN, LUCIANA" <[email protected]>:
> Dear Statalist users,
>
> I was wondering if STATA can handle LIML estimation with fixed
> and/or random effects in the outcome equation? I've found a couple
> of programs that can deal with LIML estimation (condivreg and
> ivreg2, for example) but I was wondering how I can include
> fixed/random effects as well.
If you put all your variables (including the instruments) into mean-
deviation form by hand, and use ivreg2 or condivreg do to the LIML
estimation on the demeaned data, you will in effect have done LIML with
fixed effects. The only problem (aside from the hassle of having to do
the demeaning) is that, as usual when estimating in mean-deviation form,
the degrees of freedom will be wrong and you'll need to adjust your
standard errors. Also straightforward, but again a minor hassle.
Hope this helps.
--Mark
>
>
> Thanks to all,
> Luciana Suran
> [email protected]
>
> *
> * 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 & 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
________________________________________________________________
DISCLAIMER:
This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed. If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail. In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail. Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail. Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
________________________________________________________________
*
* 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/
