st: Re: IV and fixed effects

[Kit Baum <baum@bc.edu>]

Presumably you have too many fixed effects to implement directly. But 
you can always apply the demeaning transformation "by hand" to each 
variable--that is, by unit, express each variable as a deviation for 
the unit's mean--and then apply any appropriate estimator to the 
transformed variables. That is all that the xtivreg,fe estimator (or 
any estimator of the LSDV model, such as xtreg, fe or areg) is doing 
anyway. The egen mean function (which supports the bys unit: prefix) 
may be useful in doing this demeaning transformation.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

On May 9, 2005, at 2:33 AM, Juanhui wrote:


> My survey data requires me to run fixed effect OLS regression with 
> instrumental
> variables. However, xtivreg doesn't support weights. ivreg doesn't 
> support fixed
> effects and areg doesn't support iv. Is there any way to combine them 
> together
> and get me finish my thesis?
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