Mark--
I don't want to make any general claims about identification of
parameters, but it seems to me that if you can regress y* on X1* and
X2*, where v*=v(t)-v(t-1), then you can partial out X2* _after_
first-differencing to estimate the equivalent regression reporting
only the coefficients on X1* --which I think argues for a warning
message on -xtivreg2- rather than an error message.
> > On Dec 20, 2007 8:01 AM, Schaffer, Mark E
> > <[email protected]> wrote:
> > > Jessica,
> > > I think the problem is a misleading message by xtivreg2
> > rather than a bug per se. Partialling-out is appropriate for
> > fixed effects models, but I'm not sure what it would mean
> > when combined with first differencing.
> > >
> > > I'm inclined to make -partial- incompatible with -fd- so
> > that combining them causes -xtivreg2- to exit with an
> > informative error. What do you think? Or should it mean
> > that the partialling-out is applied to the data BEFORE
> > first-differencing?
> > >
> > > --Mark
> > > (-xtivreg2- author)
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