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Re: st: re:
From
Hans Henrik Sievertsen <[email protected]>
To
[email protected]
Subject
Re: st: re:
Date
Wed, 24 Feb 2010 15:53:02 +0100
Thank you for your response,
I cannot find any of the discussions you mention in my manual, but the
question is solved now thanks to Martins response, sorry for the
inconvenience.
Hans
2010/2/24 Kit Baum <[email protected]>
> <>
> Hans said
>
> And get the first stage results. That is fine, but I would like to know how
> it estimates the first stage. I tried to replicate the first stage with OLS,
> RE, BE, FE etc... I cannot get the same results? I wonder why?
>
> The discussion of Methods and Formulas in the [XT] xtivreg manual entry,
> for each method, seems perfectly clear. For instance, for method FE, after
> demeaning the within estimator is a two-stage least-squares regression of
> \ytilde on \Ztilde with instruments \Xtilde. The FSRs are thus regressions
> of each \Ztilde on all of the \Xtilde. In their notation Z = Y + X1, where Y
> are included endogenous and X1 are included exogenous. X = X1 + X2 where X2
> are excluded exogenous. All straightforward IV setup.
>
> Kit
>
> Kit Baum, Boston College Economics and DIW Berlin
> http://ideas.repec.org/e/pba1.html
> An Introduction to Modern Econometrics Using Stata:
> http://www.stata-press.com/books/imeus.html
>
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