Hello,
I am trying to run IV regressions in STATA. I use xtivreg or ivregress with year and industry-fixed effects.
My question is that the results are very sensitive to the choice of different sample periods (e.g., whether I start my sample in 2011 or 2012 matters a lot).
I believe that this should not be the case (I have available observations from 2010 to 2021, about 15,000 observations, well-distributed among different years).
Here is the syntax I use.
xtivreg ch_abs log_size btm i.sic2 i.FYEAR (m_b_ch_ab=m_b_focal_1), fe vce(cluster GVKEY)
m_b_ch_ab is the endogenous variable and m_b_focal_1 is the instrument.
Please let me know why I find the results very sensitive to the choice of the sample period.
Best,
HyunSahn
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