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Re: st: re: xtivreg
From
W Zang <[email protected]>
To
[email protected]
Subject
Re: st: re: xtivreg
Date
Thu, 06 May 2010 10:12:48 +0100
Thanks a lot for all helpful responses.
Linda
Quoting Austin Nichols <[email protected]>:
W Zang :
As an example of Kit's point, consider:
clear all
u http://fmwww.bc.edu/ec-p/data/macro/abdata
tsset id year
xtivreg2 ys k (n=l2.n l3.n), fe endog(n)
qui ivreg2 ys k (n=l2.n l3.n)
ivendog n
qui xi:ivreg2 ys k (n=l2.n l3.n) i.id
ivendog n
testparm _I*
where the last line demonstrates the need for FE, and the endog test
does not support the use of the exclusion restriction--but that does
not necessarily mean that n is exogenous; with a better exclusion
restriction, the endog test could produce a different result.
Remember that the endog test
xtivreg2 ys k (n=l2.n l3.n), fe endog(n)
just compares
xtivreg2 ys k (n=l2.n l3.n), fe
to
xtivreg2 ys k n (=l2.n l3.n), fe
not to another specification with better instruments.
On Wed, May 5, 2010 at 10:07 AM, Christopher Baum <[email protected]> wrote:
<>
If the XT-IV model is properly specified, and fixed effects are
necessary to ensure consistency, the pooled IV results are
inconsistent, and any test based upon them is invalid. You should
be able to use the same syntax with endog(y2) on the ivreg2
command, but I am not surprised that the results differ. In the
presence of unobserved heterogeneity, the pooled IV will be junk.
Kit
Kit Baum | Boston College Economics and 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
On May 5, 2010, at 9:37 AM, W Zang wrote:
Dear Kit
Thank you very much for your previous reply. I have another
question and wonder if you could help me please. Before estimating
the two simultaneous equations, I did the endogeneity test of y2.
xtivreg2 y1 (y2 = x4 x5) x1 x2 x3, fe endog (y2)
I also performed Durbin-Wu-Hausman test.
ivreg2 y1 (y2 = x4 x5) x1 x2 x3
ivendog (y2)
I got two different results. y2 is proved to be exogeneous in the
first case and y2 is endogenous in the second case. Did I do
something wrong? Which test should I follow?
Best Wishes,
Linda
Quoting Kit Baum <[email protected]>:
<>
Linda said
I am trying to use xtivreg to estimate two-stage least squares
simultaneous equations. I have two endogenous variables Y1 and Y2. Y1
and Y2 are affected by different exogenous variables. Y1 is affected
by X1, X2, X3 and Y2 is affected by X1, X4, X5.
Y1 = a0 + a1*Y2 + a2*X1 + a3*X2 + a4*X3
Y2 = b0 + b1*Y1 + b2*X1 + b3*X4 + b4*X5
xtivreg y1 (y2 = x4 x5) x1 x2 x3, fe
xtivreg y2 (y1 = x2 x3) x1 x4 x5, fe
The syntax is the same as it would be for a non-panel IV
estimator. Just list the variables excluded from each equation
within the parenthesized expression.
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