Anand,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Anand
> Sent: 25 January 2007 22:35
> To: [email protected]
> Subject: st: XTIVREG2 and DMEXOGXT: Please help!
>
> Dear Statalisters,
>
> 1) I was wondering if its is possible to run the DMEXOGXT
> command after XTIVREG2. The command runs fine after I use XTIVREG.
You can just use the -endog- option of -xtivreg2-. This will test the
endogeneity of the specified regressors.
>
> I have the latest version of IVREG2, XTIVREG2, XTIVREG, and DMEXOGXT.
>
> However, when I try to run the DMEXOGXT command after running
> the XTIVREG2, which I use insteda of XTIVREG, since I want to
> use robust and cluster, DMEXOGXT does not work and I get the
> following message;
>
> dmexogxt only works after xtivreg, fe
> last estimates not found
> r(301);
>
> 2) Is there an equivalent command for IVHETTEST for panel
> data after using IVXTREG2.
No, but you can do one "by hand" in the usual fixed-effects fashion, by
demeaning your data. Then estmate using -ivreg2-, and test using
-ivhettest-. Ben Jann's -center- command is very handy for demeaning.
One catch: as usual, when doing fixed effects using the demeaning
transform, the reported standard errors and statistics using the
demeaned data will have the wrong degrees of freedom because the program
reporting the results doesn't know about the degrees of freedom lost to
the fixed effects. Wooldridge's 2002 book, pp. 271-2, for example,
shows how to make the adjustment.
Cheers,
Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
> Please help.
>
> Thanks a lot in advance.
>
> Sincerely
>
> Anand
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