> 1. Sorry, my question wasn't spelled out correctly.
> The models I need to implement are the following:
>
> 1) Y = const + Z*betta + time_effects*theta + u
> 2) Y = const + Z*betta + time_effects*theta +
> time_effects*Fixed effects*delta + u
Are your time effects actually a variable like year? At any rate, I
don't think that this thing is easily estimable, because you don't
have fixed effects to generate your interaction terms. You can try
this out within the random effect framework with -gllamm-.
> Below is the output. When doing usual OLS fixed
> effects regression, only two of the coefficients are
> insignificant. In 2SLS regression results look ok, but
> in 2SLS with fixed effects significance of all
> coefficients dies out (z-statistics are around zero).
Still no output, but I would suspect that this is a matter of
inefficient estimation: both fixed effect and IV regressions, in
general, lead to inefficient estimates compared to OLS, so you should
not be surprised to see vast standard errors.
--
Stas Kolenikov
http://stas.kolenikov.name
*
* 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/
