Gang,
Quoting is300gp <[email protected]>:
> Hello, all:
>
> I'm running an example given by Wooldridge,Introductory Econometrcs
> (2nd)
> pp513, the code and data is as follows:
>
> use http://fmwww.bc.edu/ec-p/data/wooldridge/JTRAIN
> tsset fcode year
> sort fcode year
> drop if year==1989
> ivreg D.lscrap (D.hrsemp = D.grant)
>
> Then I want to run ivreg, I used the following:
>
> iis fcode
> tis year
> xtivreg scrap d88 (hrsemp=grant), fe
>
> But I got different results, could anybody tell me what am I doing
> wrong?
It's probably because first-differencing is not equivalent to fixed
effects. If you convert the data into mean-deviation form and then use
ivreg (or ivreg2), the coefficients ought to match. (The SEs may not
match, though, because ivreg will be using the wrong degrees of freedom.)
Hope this helps.
--Mark
>
> Thanks a lot,
>
> Gang
>
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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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