Dear all,
as far as I know, endogeneity exists when the independent variable is correlated with the error term. This brings us to my first question: How do I find this out in panel data?
The second question relates to the procedure for testing whether the instrumental variables chosen to treat endogeneity are exogenous and correlated with the independent variable. In a non-panel data based dataset, I would calculate "ivregress 2sls, vce(robust) first". If the F-value is greater than 10, the instrumental variables would be sufficiently strong. Following this, I would calculate "estat overid". With a value of p<0,05 I have to define new instrumental variables. With a value of p>0,05 I can continue with the command "estat endogenous". Here, if p>0,05 I continue with the edogenicity model, otherwise I take my original model. So far I think I have understood everything. But I have panel data, thus I have to change the command "ivregress 2sls, vce(robust) first" to "xtivreg, fe vce(robust) first". However, Stata (14.2) then tells me that "estat overid" is not valid. How can I apply the above procedure to panel data?
Thanks a lot for your help!
Related Posts with Endogeneity in panel data
xtlogit vce(cluster cvar) returning no standard errorsHello everyone, I have a panel dataset. The dependent variable is information on whether an investm…
What is wrong with my bootstrap program, and why does it give the same estimates in every bootstrap sample?Lets say that I am trying to compare -reg3- estimates over two different subsamples, using bootstrap…
Bootstrapped Maximum likelihood estimationDear Statalist users, I am trying to write a code in order to estimate a linear regression with boo…
Gmm Estimator in panel data simultaneous EquationHello In Stata software version 15 , if I want to check and see the result of individuals in GMM Est…
Interpretation of Random effect in multi level negative binomial model.Dear Listers, I would like to know how to interpret the random effect of multi-level negative binom…
Subscribe to:
Post Comments (Atom)
0 Response to Endogeneity in panel data
Post a Comment