Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
| From | "Bromiley, Philip" <bromiley@uci.edu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| 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 * * 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/