st: Re: tsset with xtivreg2

["Martin Weiss" <martin.weiss1@gmx.de>]

-tsset- looks good to me. Results are usually invariant to its specification 
as long as the years are distinguisable...


***
webuse nlswork, clear
gen age2 = age*age
gen ttl_exp2 = ttl_exp*ttl_exp
gen tenure2 = tenure*tenure
gen byte black = race==2
tsset idcode year
xtreg ln_w grade age* ttl_exp tenure* black not_smsa south, fe
su year
replace year=year-r(min)
xtreg ln_w grade age* ttl_exp tenure* black not_smsa south, fe
***

HTH
Martin
_______________
----- Original Message ----- 
From: "Brent Fulton" <fultonb@berkeley.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Saturday, June 27, 2009 4:19 AM
Subject: st: tsset with xtivreg2


> Hi, I am using Stata 9.2 comparing results between -areg- and -xtivreg2-
> (with fixed effects), and I wasn't sure if I was coding tsset correctly. I
> have one endogenous variable that I instrument with two IVs.
>
> In the -areg- model, the four year dummy variable (yr2, yr3, yr4, yr5)
> parameter estimates closely correspond, as expected, to the mean 
> difference
> in the dependent variable as compared to its mean in the omitted year 
> (yr1).
> And these year dummies are very large--over an order of magnitude larger
> than the other parameter estimates.
>
> In the -xtivreg2- model, the year dummy estimates dramatically changed and
> do not seem plausible. Is my coding of tsset correct below: "year" is an
> integer that has five values 1,2,3,4 and 5?
>
> Any other thoughts would be appreciated, too.
>
>
> AREG code:
> areg dep endogvar $ind1 yr2 yr3 yr4 yr5 [pw=wgt], absorb(id) cluster 
> (var1)
>
> XTIVREG2 code:
> tsset id year
> xtivreg2 dep (endogvar= iv1 iv2) $ind1 yr2 yr3 yr4 yr5 [pw=wgt],
> cluster(var1) first fe liml
>
> Thanks,
> Brent Fulton
> UC Berkeley
>
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