st: Date: Tue, 17 Apr 2012 18:33:16 +0200

[<livio.stracca@ecb.int>]

Hi,
I am estimating a model using IV on panel data, using the IVREG2
command. Does anybody know of a way to obtain mean group estimates, i.e.
estimates that are cross sectional averages and are not based on
imposing the same slope on all countries? 

I am not sure in particular if this would be a possible way. Assume that
the model is of the type Y=beta*x, and Di are country dummies (1 if the
country or unit is i, 0 otherwise). Then one could estimate the
following model using IVREG2,

Y=beta*x+beta1*x*D1+beta2*x*D2+...

(This of course implies that instruments are needed for each x*Di
variable, probably some kind of country-specific instrument z*Di).

Is the coefficient beta above the mean group estimator?

Grateful for your feedback, I think this question is of wide interest
for those who want to apply IV to panel data.






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