Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: IV regression with panel data: random effects, clustered s.e.'s, postestimation tests
From
Jana von Stein <[email protected]>
To
[email protected]
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/