RE: st: RE: Problem with xi and xtivreg2

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Juan,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Juan Pablo Cote Baron
> Sent: 19 June 2011 19:43
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: Problem with xi and xtivreg2
> 
> Hi Mark,
> 
> Thanks for your response. I tried what you suggested but it 
> didn't work. Having created the year dummies first, I typed:
> 
> xtivreg2 x w _Iyear_2004 _Iyear_2005 (y = z), fe robust
> 
> but I keep getting the same error message. I wonder what the 
> problem could be.

I wonder if it's a collinearity problem involving your other variables
and/or instruments.

Maybe try

xtivreg2 x w _Iyear_2004 _Iyear_2005 y, fe robust

i.e., don't instrument y.

And also try

xtivreg2 x w _Iyear_2004 _Iyear_2005 y z, fe robust

i.e., treat z as a regressor instead of an instrument.  It may not make
any economic sense, but it might help trace the problem.

And can you also show us the actual output?

--Mark

> 
> Thanks again,
> 
> Juan.
> 
> 
> >----- Mensaje original -----
> >2011/6/19 Schaffer, Mark E <M.E.Schaffer@hw.ac.uk>
> 
> >Juan,
> 
> >> -----Original Message-----
> >> From: owner-statalist@hsphsun2.harvard.edu
> >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Juan Pablo 
> >> Cote Baron
> >> Sent: 19 June 2011 00:40
> >> To: statalist@hsphsun2.harvard.edu
> >> Subject: st: Problem with xi and xtivreg2
> >>
> >> Dear statalist users,
> >>
> >> I have a problem when using the xi: xtivreg2... combination.
> >> I need to regress "x" on "w", an instrumented variable "y"
> >> and on year dummies. I typed this:
> >>
> >> xi: xtivreg2 x w i.year (y = z), fe robust
> >>
> >> but it doesn't work. Instead, I get the error message "too few 
> >> variables specified r(102)", but I don't know what the 
> problem could 
> >> be (the syntax works when I use it with another 
> cathegorical variable 
> >> different from year) .
> 
> >What happens if you first use -xi- on its own to create the year 
> >dummies, and then use the year dummies in the estimation 
> without -xi-?
> 
> >--Mark
> 
> >>
> >> Thanks in advance,
> >>
> >> Juan Pablo Cote.
> >>
> >>
> 
> 


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