st: re: xtiverg2

[Kit Baum <baum@bc.edu>]

<>	
Menale said
I have learned  the application of xtiverg2 when we have unbalanced  
data ( singletons)from previous posts.  After reading previous posts  
and running xtiverg2 , I would like to ask the following questions.     
1) What happen to the constant term when we use xtiverg2. The   
constant term is not shown in xtiverg2 although the slope coefficients  
are the same as xtreg, fe.   2) Can I use xtivreg2 even if I do not  
have endogenous  regressor. The reason I want using xtiverg2 is to  
avoid  deleting single observations manually for the reasons mentioned  
by Mark in his reply to the question, xtiverg2 and singleton-cases, in  
2006.

Mark Schaffer's -xtivreg2- (SSC) is the routine in question.
(1) A standard fixed effects estimation (the LSDV model) wipes out the  
constant term, as does a standard estimation in first differences. For  
consistency between these two approaches, -xtivreg2- does not report  
the constant term. -xtreg- and -xtivreg- do so because they represent  
the coefficients on the panel fixed effects as the deviations from  
their grand mean. But the within transformation leads to a model  
without a constant term.  As you note, -xtivreg2- will automatically  
detect and remove singleton cases. That is no big deal, though;
bysort panelid: drop if _N==1
will do that.
(2) -xtivreg2- is a 'wrapper' for Baum-Schaffer-Stillman -ivreg2-  
(SSC). -ivreg2- can handle estimation of models without endogenous  
regressors (so it can do OLS, OLS with HAC VCE, etc.) Therefore - 
xtivreg2- can handle such models, and provides a way to implement the  
first difference (FD) transformation in an OLS model. Strangely,  
official -xtreg- does not handle FD, but -xtivreg- does. Perhaps that  
strange inconsistency will be rectified in Stata 11.
Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming   
|   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html



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