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From | Abhimanyu Arora <abhimanyu.arora1987@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: constant variable as IV in panel? |
Date | Wed, 10 Aug 2011 17:36:34 +0200 |
Thank you, Austin. I have an additional info: my dependent variable is binary and I was thinking along the lines of -xtlogit-, though. Is it still possible to cluster? Cheers Abhimanyu On Wed, Aug 10, 2011 at 5:06 PM, Austin Nichols <austinnichols@gmail.com> wrote: > Abhimanyu Arora <abhimanyu.arora1987@gmail.com>: > You report having variation across years within panel, so (a) should work: > "For all months in a year, take the same (annual) value of the yearly variables" > but include year and month dummies and cluster by both panel and year > using -ivreg2- on SSC. > See refs in that program's help file. > > On Wed, Aug 10, 2011 at 6:41 AM, Abhimanyu Arora > <abhimanyu.arora1987@gmail.com> wrote: >> Dear statalist >> I think this is related to the posts by Matthias Opfinger and Austin >> Nichols with an addundum and would like request your intellectually >> stimulating views/references. The panel model I am estimating has a >> monthly frequency (no IV). But I also have yearly variables (in my >> case I have almost 20 years) for each cross section, which I would >> definitely like to include. The options that I am considering are the >> following >> >> (a) Related to Matthias' idea-For all months in a year, take the same >> (annual) value of the yearly variables >> (b) Year dummies-subsumes all (extraneous) yearly variables. But I am >> taking a trend. >> (c) Take the yearly value for the 6th month and impute the monthly >> variables from the series...a risky one >> >> Would be great to have your views and concerns or better alternatives. >> (Could hierarchical models come to the rescue?) >> >> With best regards >> Abhimanyu Arora >> >> >> >> >> >> On Thu, Jun 23, 2011 at 2:29 PM, Austin Nichols <austinnichols@gmail.com> wrote: >>> Matthias Opfinger <opfinger@vwl.uni-hannover.de>: >>> In such a case, you are using only between variation, and it is more >>> intellectually honest to run a cross-sectional regression for one >>> point in time, or possibly to compute a long difference using a pair >>> of years (estimating a cross-sectional regression in changes rather >>> than in levels), depending on which assumptions are more plausible >>> (plausibility comes from theory not from the data). >>> >>> On Thu, Jun 23, 2011 at 5:22 AM, Matthias Opfinger >>> <opfinger@vwl.uni-hannover.de> wrote: >>>> Hi everyone, >>>> >>>> I want to estimate a panel model with observations on approx. 90 countries >>>> for five points in time between 1980 and 2005. However, one of my >>>> explanatory variables is endogeneous. The only possible instrument is a >>>> variable on climatic zones. So it would be the same for each country over >>>> all points in time. How can I put this into my model? Do I just put the same >>>> value for each country over all the points in time and then use xtivreg? >>>> >>>> Best >>>> Matthias > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/