> Just a couple of things to add to what Uli said above.
> - If I'm not mistaken, dropping the singletons (one-observation groups)
> will affect the estimate of the constant. This is because Stata's
> xtreg,fe uses between-group variation to get the constant (I find this
> approach a little odd, but maybe it's just me).
> - If you want fixed effects estimates that drop singletons, and you
> don't need an estimate of the constant, you can use -xtivreg2-. As well
> as panel IV, -xtivreg2- will do fixed effects estimates for the case
> where all regressors are exogenous.
> Cheers,
> Mark
Dear Mark,
thanks a lot for Your answer.
Could I ask, please, for some other piece of advise?
If I understand it in the right way, xtivreg2 is an extension of
xtivreg... the former giving access to wider diagnostic techniques..
Than, I've read that xtivreg "handles exogenously unbalanced panel
data"...
In my model I have some variables that are suspected to be
endogenous.. moreover, analyzing attiers I've found that they have
characteristics different from those left in my panel.. so, attrition
is also an issue to correct for..
question: 1. whether it is reasonable to start with "fighting with
endogeneity" and than move to attrition correction..
2. if I understand correctly, inclusion of the inverse Mills ratio,
estimated from the selection equation, into such a model would not
provide consistent beta estimates. is there a way to incorporate
both, endogeneity and attrition correction in the same model? (for
example, saying that decision to stay in the panel next year is an
endogenous variable)
I will appreciate any comment on these issues,
thank You for Your time
Ekaterina
--
Best regards,
Ekaterina mailto:[email protected]
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