Hi everyone -

I'm trying to use the stack command to compare the effects of the same independent variable on two different dependent variables. We're using a Hausman Taylor (HT) regression using xthtaylor, as we need to account for random effects and potential unobserved variables creating endogeneity issues.

This becomes an issue, however, when using the stack command because we can either: 1) have all the time-invariant variables show the same in both stacks, or 2) have the time-invariant variables take on a 0 depending on it's corresponding stack. When we do option 1, our coefficients are not the same as when we run the HT regression since it's not accounting for separate time-invariant variables, and 2) it gives us an error for HT saying there are no time-invariant variables in the model.

We did attempt to cluster the id variable in the HT regression with the stack (created a concatatend variable of id and stack number), which helped get us closer, but still not the same coefficients.

Our main concern is we aren't sure why the results are different than when we run the models alone (i.e., just using HT regression without stack), when compared to the version with the stack command since they should be the same.

Anyone have a solution for time-invariant variables in panel regression when using stack?

Thanks in advance for your help!