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
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