It was a response to the wrong e-mail. My apologies for the confusions.
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Podesta',
Federico
Sent: Thursday, July 09, 2009 11:09 AM
To: [email protected]
Subject: st: RE: RE: ivregress with cointegrated variables
Many thanks Judith
Could you clarify you answer of course?
Best
F
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Abrams, Judith
> Sent: Thursday, July 09, 2009 4:57 PM
> To: [email protected]
> Subject: st: RE: ivregress with cointegrated variables
>
> Of course.
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Podesta',
> Federico
> Sent: Thursday, July 09, 2009 10:54 AM
> To: [email protected]
> Subject: st: ivregress with cointegrated variables
>
>
> Dear all,
>
> I am using a panel dataset composed by 16 units observed over 21 time
> points. all variables measured as levels are affected by the
> non-stationarity problem. Accordingly, I have adopted mean group
> estimator (via xtpmg Stata module) for testing for co-integration. In
> particular I have used the following STATA syntax:
>
> xtpmg d.y d.x1 d.x2, ec(ec) lr(l.y l.x1 l.x2) replace
>
> My results reveal that the variables tend to return to a long-run
> equilibrium. Nevertheless, x2 appears as a endogenous variable.
> Consequently. I would like to use IV estimator. However no Stata
> command allows to estimate IV regression with panel integrated
> processes. Consequently, I mean to run IV regression in a repeated
> cross-section framework. In particular I would use the following
> syntax
>
> bys year: ivregress y x2 (x1= x3)
>
> but I wonder whether it is correct estimate such repeated
> cross-section
> models when we have already obtained evidence about cointegration. In
> other words can I test for cointegration without use IV estimator, on
> the one hand, and estimate IV repeated cross-section models, on the
> other hand?
>
> Thanks a lot in adavance for any your hel
>
> Best
> Federico
>
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