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From | priya joshi <joship@dolphin.upenn.edu> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: xtivreg, fe or fd (time-invariant instrument issue) |
Date | Sun, 9 Jun 2013 00:40:18 -0400 |
I am trying to instrument for a competition measure, private market share (psvw) with the number of private schools in 1982 (20 years ago) (nvw1982) in a regression of mathematics score (mat) on control and explanatory variables. the instrumental variable validity checks worked out and the instrument seems to be a good predictor of the competition measure. I ran the following regressions and got the following results: . mi estimate, cmdok post: xtivreg mat selective fees dalit enr female pdropout snew permshare comproom yeardum2 yeardum3 yeardum4 yeardum5 (psvw = nvw1982),fe Multiple-imputation estimates Imputations = 10 Number of obs = 1029 Group variable: id_ss Number of groups = 212 Obs per group: min = 3 avg = 4.9 max = 5 Average RVI = 0.0911 Largest FMI = 0.3560 DF adjustment: Large sample DF: min = 78.01 avg = 20980.52 max = 176681.52 Model F test: Equal FMI F( 13,13901.3) = 26.16 Within VCE type: Conventional Prob > F = 0.0000 ------------------------------------------------------------------------------ mat | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- psvw | .8624825 .131875 6.54 0.000 .6037581 1.121207 selective | -.0278851 2.359545 -0.01 0.991 -4.652874 4.597103 fees | .3143015 .1130965 2.78 0.007 .0891442 .5394588 dalit | -1.938628 1.000959 -1.94 0.054 -3.912356 .0351003 enr | 1.230128 .4774831 2.58 0.010 .2920233 2.168233 female | -.5203193 .9466472 -0.55 0.583 -2.376803 1.336164 pdropout | -.2030307 .2400717 -0.85 0.398 -.6740312 .2679699 snew | .0260768 .1462648 0.18 0.859 -.2606485 .3128021 permshare | .1165564 .150686 0.77 0.439 -.1792443 .4123572 comproom | .4153309 .9967468 0.42 0.677 -1.53827 2.368932 yeardum2 | -10.66012 .6900084 -15.45 0.000 -12.01264 -9.307597 yeardum3 | -8.298525 .6960532 -11.92 0.000 -9.662844 -6.934207 yeardum4 | -5.97942 .7454801 -8.02 0.000 -7.440567 -4.518273 yeardum5 | 0 (omitted) _cons | 7.328137 8.134599 0.90 0.368 -8.628109 23.28438 ------------------------------------------------------------------------------ I then tried to run the xtivreg2 on the same to get errors corrected for heteroskedasticity and clustering. I got the following error message: " . mi estimate, cmdok post: xtivreg2 mat selective fees dalit enr female pdropout snew permshar > e comproom yeardum2 yeardum3 yeardum4 yeardum5 (psvw = nvw1982),fe equation not identified; must have at least as many instruments not in the regression as there are instrumented variables an error occurred when mi estimate executed xtivreg2 on m=1 r(481); " I noted another Stata discussion on this issue (http://www.stata.com/statalist/archive/2010-09/msg01344.html). The discussion seems to conclude that the fact that the instrument was time-invariant is the problem. I wanted to ask if: 1. the xtivreg results for fe can be trusted - especially since this is an important specification for my analysis. 2. if not, is there a way to do an fe iv regression for this time-invariant instrumental variable? a time-invariant measure made the most sense as an instrument since it is a lagged value of private entry. should i instead construct a 5-year instrumental variable with the number of private schools that existed in each year? thank you, Priya * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/