st: do you HAVE to have endogenous time-invariant variable when running xthtaylor?

[Mei Liu <mei.liu.yuki@gmail.com>]

Hi,

I have a question about Stata's Hausman Taylor Estimator for panel
data. The Stata command is xthtaylor.

Usually, under the xthtaylor framework, you will have to sepicify the
"endogenous" variables in your time-varying variables and the
"endogenous" variables among your time-invariant variables. The
variables can be "endogenous" in the sense that they can be correlated
with the random effects.

What if there is NO endogenous time-invariant variable in the model?
That is to say, all the time-invariant variables are exogenous.

The model I am currently working with have time-varying exogenous
variables, time-varying endogenous variables, and time-invariant
exogenous variables. I have no time-invariant variable in the variable
list for endog(varlist).  Xthtaylor will still run. However, I am not
sure if the estimated coefficients are still consistent?

Any suggestions will be deeply appreciated.

Best,
Mei
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