Dear P�atrick,
below is an example of the command I use. The sargan test pass even if
I also use a first lag of my enodegenous variable. The question is
that it does not seem to me that the fit of some of these variables in
the first stage is good (values of centered R^2 of such like 0.60).
So I wanted to try to do myself the first stage regression, but I do
not understand well...how is the first stage, if I want to do that
myself.
Many thanks
alessia
xtivreg2 logp9010 eta femalesumale logfirmsize d1992-d2002
disoccregnoi_I logvarsmila2002sudlrs ( logexpeasuvarseuro
logimpeasuvarseuro logexppvssuvarseuro logimppvssuvarseuro
logexpptsuvarseuro logimpptsuvarseuro=l2.logexpeasuvarseuro
l2.logimpeasuvarseuro l2.logimppvssuvarseuro l2.logexpptsuvarseuro
l2.logimpptsuvarseuro l.lgexpeasuvarseuro) [aw=ind], fe first
2007/6/2, [email protected] <[email protected]>:
email us an example of the commands you run...
from help xtivreg:
xtivreg with the fe option uses the two-stage least-squares within
estimator.
and:
regress specifies that all the covariates be treated as exogenous and that
the instrument list be ignored. In other words, specifying regress causes
xtivreg to fit the requested panel-data regression model of depvar on
varlist_1 and varlist_2, ignoring varlist_iv.
PatrickT
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