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

[Marco Ventura <mventura@istat.it>]

Hi Livio,
I think the procedure you propose is correct, of course it is a hard task to find so many intruments especially if you are looking for external instruments.
However, there is a way for testing whether your procedure is correct. Eviews provides you with the possibility to specify country specific coefficients. I don't know exactly what it does but you could run two estimates in eviews. In a first a one you specify the cross country varying coefficients and in the second you run a panel regression with the Di*x regressors. Finally you compare the results.
Hope this helps.
Regards, Marco


----- Messaggio originale -----
Da: "livio stracca" <livio.stracca@ecb.int>
A: statalist@hsphsun2.harvard.edu
Inviato: Martedì, 17 aprile 2012 18:33:28
Oggetto: st: Date: Tue, 17 Apr 2012 18:33:16 +0200

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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