Monday, February 20, 2006

st: Doubt about xtivreg,first differences

Dear Stata users,

I'm usin the command xtivreg, fd and some doubts arose while working with it. First, I ran the following:

xtivreg y w y z (l.y=l(2).y), fd

My panel has T=10 and the output shows T=7. I know first differencing the equation sweep out one period, and because there is a lag dependent variable, two years are swept out. I would like to know if the fact that I'm using yt-2 as instrument makes me lose another year.

Another question: Is there any test to run after xtivreg,fd (test for validity of instruments for example)? And how can I deal heteroskedasticity in xtivreg?

Thanks, Rafael Terra de Menezes University of S�o Paulo - Brazil Ms Student

* * For searches and help try: * * *


Links to this post:

Create a Link

<< Home

This page is powered by Blogger. Isn't yours?