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st: GLS estimator for xtivreg?
From
"Bromiley, Philip" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: GLS estimator for xtivreg?
Date
Thu, 8 Dec 2011 13:01:12 -0800
I have multiple observations per firm and a large number of firms. Firms vary massively in scale. The model includes one endogenous variable. I'd like to do xtivreg with a gls correction for the scale differences across firms. As I understand it, the robust estimator fixes some problems with the standard errors, but leaves the large firms dominating the estimates of the betas.
It seems like I could either (i) do a pre-estimate using xtreg, xtivreg, or xtivreg2 to predict residuals which I then use to estimate firm standard deviations followed by a xtivreg2 with weights, or (ii) do a separate estimate of the instrument for the endogenous variable followed by xtgls using the instrument allowing for heteroskedasticity by panel.
Am I missing a better solution? If not, which would you recommend?
Phil
Philip Bromiley
Dean's Professor of Strategic Management
Merage School of Business
University of California, Irvine
Irvine, CA 92697-3125
(949) 824-6657
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