Hi,
I am estimating an instrumental variable model having one endogenous
variable on the right hand side (RHS) of the equation. The model is
estimated from panel data, having fixed effects, and correcting for
autocorrelation; heteroscedasicity does not appear to be much of a
problem.
Now, I want to re-examine the model where the coefficient for the RHS
endogenous variable varies over several time periods. The simplest way
to do this would be to take the fitted values from the first-stage and
generate the needed instruments. For example, the values for the
instrument in the initial time period would be equal to the original
fitted values and zero for the other time periods. The remaining
instruments would be generated similarly. What I want to do is use
ivreg2 without running the '1st stage regression'. So, is there a way
where I can enter the actual and fitted values for the RHS endogenous
variable into ivreg2? Or is there another Stata procedure that could
estimate the model having these above features.
Obviously, I can estimate the model with the fitted values using a
regression procedure, and the model coefficients would be properly
estimated, but the variances would not be.
Greg
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