2:52 tsset id t to set panel data 7:33 xtivreg Y1 (Y2=Z) X, fe 9:39 reg Y2 Z X (first stage), look for near 10 F and significant relation between Z (exogenous var) and Y2 (endogenous var) 10:20 xtivreg lwage (wks=ms) exp, fe (second stage), then to look for differences of coefficient of Y2 10:54 xtreg lwage wks exp, fe , find out differences so to affirm endogenous existed
Thank you, Mike. but I am running IV fixed effect and am having a similar issue you had. we the fixed effect coefficients were positive and significant but the ivfixed effect coefficient is negative and insignificant. how can I solve this problem?
Hi Mike, For your variable "wks", you just assumed that it's endogenous, would you please share the Stata code to test the endogeneity for a variable in panel data.
Hi Mike, could you please tell me how to report first stage data. I used ',first' after fe to generate first stage regressions. But I don't know how to report them. Or could you tell me a journal article that reports first stage results with F tests.
Hi Prof. Jonas, Would you please recommend a top journal paper with panel data instrumental variable? I learnt a lot from your video. But I guess from course to paper, there is a huge gap in application designs, identification discussion, heterogenous effects, and robustness tests. There are more to learn. Thank you very much! I hope you enjoy your research and teaching! Best Regards, Bo
Hello, the video is very helpful. But I have one question,, how can we perform Durbin Wu Hausman test for panel data? I have found some advices on the Internet that they suggest to use Xtivreg2 and put a endog( ) option there. But if I use xtivreg2: it does not allow me to add I.year for time fixed effect. Do you know how to fix this issue? Thank you very much.
Hi. How do you estimate with a time invariant variable such as the dummy fem, fixed effects IV? I have that as homework. What should I do? thanks in advance!!
Hey! Thank you for this video, it is very helpful. I still have a question, is it possible to do a ivregression 2sls with 4 endogeneous variables and just one instrumental variable. I want to use one instrumental variable for all my endogeneous variables. I hope you can help me out. Thanks :)
In order for an IV model to be identified (and unique coefficients estimated), you will need at least one unique, external instrument for each endogenous variable in the system.
Hi mike. Thanks a lot. I have a question. How can i make a IV-FE with time fixed effects and the standard error clustered by state. the data set. I have 24 states for 5 years. i put the following command: xtivreg2 dA (Nd1 = Iv3), fe cluster(dpto). But i just obtain state fixed effect with error cluster by state o time fixed effect with error cluster by the same variables. How can i do that?
Hi. Thanks for the video. How about HLM? I have my main analyses with stata mixed command. Doing robustness check with instrumental variables, should I use xtivreg? Or are there any other commands particular for HLM and nested data???
thank you for sharing this video, dear how can I interpret Hausman test result to compare between FE and FE-IV model . hausman iv ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | iv . Difference S.E. -------------+---------------------------------------------------------------- IHS_fdx | -10.2609 -3.488869 -6.772031 1.233345 IHS_gov | -3.616735 -3.877065 .2603298 .2091792 IHS_gfcf | 3.277582 2.25975 1.017832 .1942741 IHS_trd | 1.358966 .7292542 .6297113 .1364145 IHS_gnci | .6256677 .3832061 .2424616 .0834463 IHS_lbor | -5.572129 -4.614434 -.9576948 .5514027 dum_fdx | 3.960901 -.3721835 4.333084 1.10512 ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xtivreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg Test: Ho: difference in coefficients not systematic chi2(7) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 42.89 Prob>chi2 = 0.0000 According to P-value, Which one is appropriate? THANK YOU
2:52 tsset id t to set panel data
7:33 xtivreg Y1 (Y2=Z) X, fe
9:39 reg Y2 Z X (first stage), look for near 10 F and significant relation between Z (exogenous var) and Y2 (endogenous var)
10:20 xtivreg lwage (wks=ms) exp, fe (second stage), then to look for differences of coefficient of Y2
10:54 xtreg lwage wks exp, fe , find out differences so to affirm endogenous existed
I am a big fan of your videos, Mike! Thank you for this super didactic explanation.
Thank Mike! you are a very good teacher :) Zim approves
You are welcome!
Thank you, Mike. but I am running IV fixed effect and am having a similar issue you had. we the fixed effect coefficients were positive and significant but the ivfixed effect coefficient is negative and insignificant. how can I solve this problem?
Hi Mike,
For your variable "wks", you just assumed that it's endogenous, would you please share the Stata code to test the endogeneity for a variable in panel data.
Thanks Mike, this is very helpful
Hi Mike, could you please tell me how to report first stage data. I used ',first' after fe to generate first stage regressions. But I don't know how to report them. Or could you tell me a journal article that reports first stage results with F tests.
Hi Prof. Jonas,
Would you please recommend a top journal paper with panel data instrumental variable?
I learnt a lot from your video. But I guess from course to paper, there is a huge gap in application designs, identification discussion, heterogenous effects, and robustness tests. There are more to learn.
Thank you very much!
I hope you enjoy your research and teaching!
Best Regards,
Bo
Hello, the video is very helpful. But I have one question,, how can we perform Durbin Wu Hausman test for panel data? I have found some advices on the Internet that they suggest to use Xtivreg2 and put a endog( ) option there. But if I use xtivreg2: it does not allow me to add I.year for time fixed effect. Do you know how to fix this issue? Thank you very much.
Hi, you can try this code: "xi: xtivreg2 varlist i.year, fe"
Hello Mike, Can you do something on 'estadd' for regression output, specially for GMM estimations and required results to put in a table
Hi. How do you estimate with a time invariant variable such as the dummy fem, fixed effects IV? I have that as homework. What should I do? thanks in advance!!
Hey! Thank you for this video, it is very helpful. I still have a question, is it possible to do a ivregression 2sls with 4 endogeneous variables and just one instrumental variable. I want to use one instrumental variable for all my endogeneous variables. I hope you can help me out. Thanks :)
In order for an IV model to be identified (and unique coefficients estimated), you will need at least one unique, external instrument for each endogenous variable in the system.
Hi mike. Thanks a lot. I have a question. How can i make a IV-FE with time fixed effects and the standard error clustered by state. the data set. I have 24 states for 5 years. i put the following command: xtivreg2 dA (Nd1 = Iv3), fe cluster(dpto). But i just obtain state fixed effect with error cluster by state o time fixed effect with error cluster by the same variables. How can i do that?
Hello Mike.. can you guide me on how to perform the "Wooldridge Test for Strict Exogeneity"..Thanks
Dear Professor Jonas. I only have a question. Can we use xtivreg when all the variables are non stationary (they have unit roots)?
Hi. Thanks for the video. How about HLM? I have my main analyses with stata mixed command. Doing robustness check with instrumental variables, should I use xtivreg? Or are there any other commands particular for HLM and nested data???
i really need help on this if anybody can help. an using a panel data (two waves).
thank you for sharing this video, dear how can I interpret Hausman test result to compare between FE and FE-IV model
. hausman iv
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| iv . Difference S.E.
-------------+----------------------------------------------------------------
IHS_fdx | -10.2609 -3.488869 -6.772031 1.233345
IHS_gov | -3.616735 -3.877065 .2603298 .2091792
IHS_gfcf | 3.277582 2.25975 1.017832 .1942741
IHS_trd | 1.358966 .7292542 .6297113 .1364145
IHS_gnci | .6256677 .3832061 .2424616 .0834463
IHS_lbor | -5.572129 -4.614434 -.9576948 .5514027
dum_fdx | 3.960901 -.3721835 4.333084 1.10512
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained from xtivreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
Test: Ho: difference in coefficients not systematic
chi2(7) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 42.89
Prob>chi2 = 0.0000
According to P-value, Which one is appropriate?
THANK YOU