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| From | Abubakr Saeed <abubakr.sd@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: RE: Problem with ivreg2 for Panel data |
| Date | Mon, 4 Jun 2012 09:11:08 +0100 |
Hi Thank you very much Mark, I got your point and I have thoroughly checked the thread that you suggested. I have one additional question in this regard, My endogenous variable is not time-invariate, which is leverage (I am regressing performance against leverage and other variables), In fact, one another important variable on RHS is time-invariate. In this case, even then do I need to follow the same considerations, or should I estimate with xtivreg , and run xtoverid for J-stats, but how can I get the Hausman test (that is achievable with ivendog with ivreg2 for cross-sectional data) and F-stat. Thank you for your useful suggestions. Abubakr Saeed, On 3 June 2012 22:31, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote: > Abubakr, > >> -----Original Message----- >> From: owner-statalist@hsphsun2.harvard.edu >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of >> Abubakr Saeed >> Sent: 03 June 2012 11:43 >> To: statalist@hsphsun2.harvard.edu >> Subject: st: Problem with ivreg2 for Panel data >> >> Hi, >> >> I am facing trouble in IV estimation. Though in few other >> threads it has already been discussed but it is still not >> clear to me. Basically, I have the Panel data with the time >> invariate explanatory variable. > > You have the same problem that Benjamin had, discussed here: > > http://www.stata.com/statalist/archive/2012-05/msg01304.html > > Your only option is to use an estimator that exploits "between" > (cross-sectional) variation. Examples are the between estimator and > the random effects estimator. Also... > >> I have few questions in this regard: >> >> 1) Can I use ivreg2 for the Panel data, since Help file says: >> "ivreg2 may be used with time-series or panel data, in which >> case the data must be tsset before using ivreg2"-- but >> running this after setting tsset, I am not getting the same >> results as with xtivreg, why?, Is is normal? > > -ivreg2- on panel data estimates pooled OLS or IV. -xtivreg- estimates > error components models, e.g., fixed effects, G2LS, EC2SLS etc. > >> 2) I can not use xtivreg2, since explanatory variable is time >> invariate, xtivreg2 drops it. > > See above. That's because -xtivreg2- estimates only fixed effects and > first differences models. > > --Mark > >> 3) I prefer to use xtivreg and I have estimated the equation >> with it but how can I get the F-statistics, and Hansen-J >> statistics while using xtivreg. >> >> >> Any response will be much appreciated. >> >> Regards, >> >> Abubakr Saeed >> PhD student >> * >> * 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/ >> > > > -- > Heriot-Watt University is the Sunday Times > Scottish University of the Year 2011-2012 > > Heriot-Watt University is a Scottish charity > registered under charity number SC000278. > > > * > * 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/ * * 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/