st: Re: New on ssc-ideas - xtivreg2

["Andrea Molinari" <A.Molinari@sussex.ac.uk>]

Dear Mark,

Many thanks for programming this command!

I am not sure if it's just me, but when I estimated my fe model with:

xtivreg2 $text (lreptextg lrectextg rcatextx = l.lrgdp95pcx l.lrgdp95pcm 
l.bttext l.lbrer l.lreptextg), fe gmm small
I cannot get Stata to tell me the excluded instruments at the end, I get the 
following output:

------------------------------------------------------------------------------
Instrumented:         lreptextg lrectextg rcatextx
Included instruments: lrgdp95pcm lrgdp95pcx bttext lbrer d80 d81 d82 d83 d84 
d85
                     d86 d87 d88 d89 d90 d91 d92 d93 d94 d95 d96 d97 d98 
d99
Excluded instruments: __000003 __000004 __000005 __000006 __000007 __000008
                     __000009
Dropped collinear:    d79
------------------------------------------------------------------------------


This happens with and without the gmm and small options, but it is not the 
case when I use -ivreg2- for the pooled model. Can this possibly be a bug in 
the program? I made sure I've got version 2.1.11 -ivreg2-


Many thanks,
Andrea

----- Original Message ----- 
From: "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, November 02, 2005 1:13 PM
Subject: st: New on ssc-ideas - xtivreg2



> Thanks to Kit Baum, a new program, -xtivreg2-, is available on ssc-
> ideas.
>
> -xtivreg2- implements IV/GMM estimation of the fixed-effects and
> first-differences panel data models with possibly endogenous
> regressors.  It is essentially a wrapper for -ivreg2- by Baum-
> Schaffer-Stillman, which must be installed for -xtivreg2- to run
> (version 2.1.11 or above of -ivreg2- is required: -ssc install
> ivreg2, replace-).  -xtivreg2- supports all the estimation and
> reporting options of -ivreg2-; see help -ivreg2- for full
> descriptions and examples.
>
> All the statistics available with -ivreg2- (heteroskedastic, cluster-
> and autocorrelation-robust covariance matrix and standard errors,
> overidentification and orthogonality tests, first-stage and
> weak/underidentification statistics, etc.) are supported by
> -xtivreg2- and will be reported with any degrees-of-freedom
> adjustments required for a panel data estimation.
>
> Version 8.2 of Stata is required.
>
> Prof. Mark E. Schaffer
> Director
> Centre for Economic Reform and Transformation
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS  UK
> 44-131-451-3494 direct
> 44-131-451-3296 fax
> 44-131-451-4202 CERT administrator
> http://www.sml.hw.ac.uk/cert
>
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