Wednesday, March 01, 2006
st: xthataylor and time-invariant regressors
I want to estimate the impact of an invariant variable in a panel data framework. Since the Hausman test rejected the use of the random effect model, I have to use the Hausman-Taylor estimator.
However, using the xthtaylor command that performs Hausman and Taylor estimation in stata9, stata "asks" me to specify not only time-varying but also time-invariant endogenous regressors, while I have only time-varying endogenous regressors. Including no time-invariant endogenous regressors implies an error message...including some time-invariant endogenous regressors (almost randomly) results in strange results (unsurprisingly).
Does anyone have any idea to solve this problem?
Many thanks Chris
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