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| From | Jana von Stein <JANAVS@umich.edu> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: IV regression with panel data: random effects, clustered s.e.'s, postestimation tests |
| Date | Fri, 27 Apr 2012 09:21:27 -0400 |
Hello,I have time-series panel (country) data and an endogenous independent variable. My sense is that the best way to handle this is to instrument, use a random effects model, and cluster on country. Does anyone know what command(s) I can use that will do (1) clustered s.e.'s and (2) postestimation tests (underidentification, Sargan, etc.) for instrument validity and identification?
Xtivreg2 is great, but -- unless I'm missing some extra code someone's programmed -- isn't available for random or between effects. Fixed effects (available in xtivreg2) are out of the question, as some of my instruments don't vary over time within country.
Comments/suggestions greatly appreciated, Jana * * 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/