Dear all,
I need some help (again...) to solve an applied econometrics problem.
In short: Starting from an unbalanced panel database (10 years, many
variables), I made my xtivreg2, as the following:
* xtivreg2 h x (d=z), fe i(id) cl(id)
I was later suggested to add year dummies in my IV regression. I tried
this way:
- befofe making the xtivreg2..., I added the following strings:
* tabulate year, generate(dyear)
* global xextra dyear1 dyear2 dyear3 dyear3 dyear4 dyear5 dyear6 dyear7
dyear8 dyear9 dyear10
and then I re-estimated this regression:
* xtivreg2 h x $xextra (d=z), fe i(id) cl(id)
The results are not that good, in particular almost all "dyear" dummies
in the h (second stage) equation are visibly not significant, while
they are in the first stage. Besides, the Sargan-Hansen is lower now!
My questions:
1) Is it empirically correct the way I added the dummies in the xtvreg2?
2) Regardless of my specific interests, is it useful to add
year-dummies as exogenous in both equations ($xextra belong to both
first and second stage equation)?
3) Since some year dummies seem to be significant in the d (first
stage) equation (while not in h regression), can I include them in
this, as if they were z-like instruments?
4) Is there a test of joint significance for these dummies (I tried
"test dyear2 dyear1 dyear3 dyear4 dyear5 dyear6 dyear7 dyear8 dyear9
dyear10", but I were wrong...) to justify their inclusion?
I really hope your kind help.
Thank you in advance for all.
Robert
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