Re: st: RE: How do I specify linear restrictions and AR(1) in xtivreg or xtivreg2

[David Granlund <david.granlund@econ.umu.se>]

Thanks Mark for yor help about xtivreg2 and for providing the program!

/David

At 18:35 2006-04-21, you wrote:
> David,
>
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
> > David Granlund
> > Sent: 21 April 2006 13:30
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: How do I specify linear restrictions and AR(1)
> > in xtivreg or xtivreg2
> >
> > Hi!
> >
> > Is it possible to specify linear constraints and/or to allow
> > the disturbance term to be first-order autoregressive when
> > estimating panel-data models with some endogenous
> > right-hand-side covariates? I would like to specify
> > restrictions that some parameters are product of other
> > parameters, for example that B3 = B1 B2.
>
> This is a nonlinear constraint, no?
>
> Nick Cox's answer to this question two years ago probably still stands:
>
> > In short, in general, and as a guess:
> >
> > Stata doesn't lend itself to any kind of problem involving
> > non-linear constraints unless you are willing to do all
> > the programming yourself.
>
> ‑xtivreg2‑ will, however, accommodate linear constraints if the 
> estimation uses the ‑cue‑ or continuously-updated GMM option.  The CUE 
> estimator is implemented by a call to ‑ml‑, and you can pass options 
> to ‑ml‑ with the ‑xtivreg2‑ option ‑cueopt‑.  If you do this, 
> be sure you have the latest version of ‑ivreg2‑ installed, 2.1.15; 
> earlier versions had a bug in the implementation of the CUE estimator.
>
> As for AR(1) errors, ‑xtivreg2‑ give you two possibilites, neither of 
> which is exactly what you want.  First, you can use the ‑cluster‑ 
> option, which allows for arbitrary within-panel autocorrelation.  Second, 
> you can use the ‑bw‑ option for "Newey-West" and related kernel-based 
> robust covariance estimation.
>
> HTH.
>
> Cheers,
> Mark
>
> >
> > Thank you in advance for your help!
> >
> > Regards,
> > David Granlund
> >
> >
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