xtivreg.hlp

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{smcl}
{* 07apr2005}{...}
{cmd:help xtivreg} {right:dialog:  {bf:{dialog xtivreg}{space 15}}}
{right:also see:  {help xtivreg postestimation}}
{hline}

{title:Title}

{p2colset 5 21 23 2}{...}
{p2col :{hi:[XT] xtivreg} {hline 2}}Instrumental variables and two-stage least squares for panel-data models{p_end}
{p2colreset}{...}


{title:Syntax}

{phang}
GLS Random-effects (RE) model

{p 8 16 2}{cmd:xtivreg} {depvar} [{it:{help varlist:varlist_1}}] 
{cmd:(}{it:varlist_2} {cmd:=} {it:varlist_iv}{cmd:)} {ifin} 
[{cmd:, re} {it:{help xtivreg##reoptions:RE_options}}]

{phang}
Between-effects (BE) model

{p 8 16 2}{cmd:xtivreg} {depvar} [{it:{help varlist:varlist_1}}]
{cmd:(}{it:varlist_2} {cmd:=} {it:varlist_iv}{cmd:)} {ifin} 
{cmd:, be} [{it:{help xtivreg##beoptions:BE_options}}]

{phang}
Fixed-effects (FE) model

{p 8 16 2}{cmd:xtivreg} {depvar} [{it:{help varlist:varlist_1}}]
{cmd:(}{it:varlist_2} {cmd:=} {it:varlist_iv}{cmd:)} {ifin} 
{cmd:, fe} [{it:{help xtivreg##feoptions:FE_options}}]

{phang}
Fixed-effects (FD) model

{p 8 16 2}{cmd:xtivreg} {depvar} [{it:{help varlist:varlist_1}}]
{cmd:(}{it:varlist_2} {cmd:=} {it:varlist_iv}{cmd:)} {ifin} 
{cmd:, fd} [{it:{help xtivreg##fdoptions:FD_options}}]

{marker reoptions}{...}
{synoptset 15 tabbed}{...}
{synopthdr :RE_options}
{synoptline}
{syntab:Model}
{synopt :{opth "i(varname:varname_i)"}}use {it:varname_i} as the panel ID variable{p_end}
{synopt :{opt re}}use random-effects estimator; the default{p_end}
{synopt :{opt ec:2sls}}use Baltagi's EC2SLS random-effects estimator{p_end}
{synopt :{opt nosa}}use the Baltagi-Chang estimators of the variance components{p_end}
{synopt :{opt reg:ress}}treat covariates as exogenous and ignore instrument variables{p_end}

{syntab:SE}
{synopt :{opth vce(vcetype)}}{it:vcetype} may be {opt boot:strap} or {opt jack:knife}{p_end}

{syntab:Reporting}
{synopt :{opt l:evel(#)}}set confidence level; default is {cmd:level(95)}{p_end}
{synopt :{opt first}}report first-stage estimates{p_end}
{synopt :{opt sm:all}}report t and F statistics instead of Z and chi-squared statistics{p_end}
{synopt :{opt th:eta}}report theta{p_end} 
{synoptline}
{p2colreset}{...}
  
{marker beoptions}{...}
{synoptset 15 tabbed}{...}
{synopthdr :BE_options}
{synoptline}
{syntab:Model}
{synopt :{opth "i(varname:varname_i)"}}use {it:varname_i} as the panel ID variable{p_end}
{synopt :{opt be}}use between-effects estimator{p_end}
{synopt :{opt reg:ress}}treat covariates as exogenous and ignore instrument variables{p_end}

{syntab:SE}
{synopt :{opth vce(vcetype)}}{it:vcetype} may be {opt boot:strap} or {opt jack:knife}{p_end}

{syntab:Reporting}
{synopt :{opt l:evel(#)}}set confidence level; default is {cmd:level(95)}{p_end}
{synopt :{opt first}}report first-stage estimates{p_end}
{synopt :{opt sm:all}}report {it:t} and {it:F} statistics instead of {it:Z} and chi-squared statistics{p_end}
{synoptline}
{p2colreset}{...}

{marker feoptions}{...}
{synoptset 15 tabbed}{...}
{synopthdr :FE_options}
{synoptline}
{syntab:Model}
{synopt :{opth "i(varname:varname_i)"}}use {it:varname_i} as the panel ID variable{p_end}
{synopt :{opt fe}}use fixed-effects estimator{p_end}
{synopt :{opt reg:ress}}treat covariates as exogenous and ignore instrument variables{p_end}

{syntab:SE}
{synopt :{opth vce(vcetype)}}{it:vcetype} may be {opt boot:strap} or {opt jack:knife{p_end}

{syntab:Reporting}
{synopt :{opt l:evel(#)}}set confidence level; default is {cmd:level(95)}{p_end}
{synopt :{opt first}}report first-stage estimates{p_end}
{synopt :{opt sm:all}}report {it:t} and {it:F} statistics instead of {it:Z} and chi-squared statistics{p_end}
{synoptline}
{p2colreset}{...}
  
{marker fdoptions}{...}
{synoptset 15 tabbed}{...}
{synopthdr :FD_options}
{synoptline}
{syntab:Model}
{synopt :{opth "i(varname:varname_i)"}}use {it:varname_i} as the panel ID variable{p_end}
{synopt :{opt fd}}use first-differenced estimator{p_end}
{synopt :{opt reg:ress}}treat covariates as exogenous and ignore instrument variables{p_end}

{syntab:SE}
{synopt :{opth vce(vcetype)}}{it:vcetype} may be {opt boot:strap} or {opt jack:knife{p_end}

{syntab:Reporting}
{synopt :{opt l:evel(#)}}set confidence level; default is {cmd:level(95)}{p_end}
{synopt :{opt first}}report first-stage estimates{p_end}
{synopt :{opt sm:all}}report {it:t} and {it:F} statistics instead of {it:Z} and chi-squared statistics{p_end}
{synoptline}
{p2colreset}{...}

{p 4 6 2}
You must {cmd:tsset} your data before using {cmd:xtivreg, fd}; see {helpb tsset}.{p_end}
{p 4 6 2}
{it:depvar}, {it:varlist_1}, {it:varlist_2}, and {it:varlist_iv} may contain time-series operators; see {help tsvarlist}.{p_end}
{p 4 6 2}
{opt bootstrap}, {opt by}, {opt jackknife}, {opt statsby}, or {opt xi} may be used with {cmd:xtivreg}; see {help prefix}.{p_end}
{p 4 6 2}
See {help xtivreg postestimation} for features available after
estimation.{p_end}


{title:Description}

{pstd}
{cmd:xtivreg} offers five different estimators for fitting panel-data models
in which some of the right-hand-side covariates are endogenous.  These
estimators are two-stage least-squares generalizations of simple panel-data
estimators for the case of exogenous variables. {cmd:xtivreg} with the
{cmd:be} option uses the two-stage least-squares between estimator.
{cmd:xtivreg} with the {cmd:fe} option uses the two-stage least-squares within
estimator.  {cmd:xtivreg} with the {cmd:re} option uses a two-stage
least-squares random-effects estimator.  There are two implementations: G2SLS
due to Balestra and Varadharajan-Krishnakumar and EC2SLS due to Baltagi.  The
Balestra and Varadharajan-Krishnakumar G2SLS is the default because it is
computationally less expensive.  Baltagi's EC2SLS can be obtained by
specifying the {cmd:ec2sls} option.  {cmd:xtivreg} with the
{cmd:fd} option requests the two-stage least-squares first-differenced
estimator.


{title:Options for RE model}

{dlgtab:Model}

{phang}
{opth "i(varname:varname_i)"}; see {help estimation options##i():estimation options}.

{phang}
{opt re} requests the G2SLS random-effects estimator.  {opt re} is the default.

{phang}
{opt ec2sls} requests Baltagi's EC2SLS random-effects estimator
instead of the default Balestra and Varadharajan-Krishnakumar estimator.

{phang}
{opt nosa} requests that the Baltagi-Chang estimators of the variance
components be used instead of the default adapted Swamy-Arora estimators.

{phang}
{opt regress} specifies that all the covariates be treated as exogenous and
that the instrument list be ignored.  In other words, specifying {opt regress}
causes {cmd:xtivreg} to fit the requested panel-data regression model of
{it:depvar} on {it:varlist_1} and {it:varlist_2}, ignoring {it:varlist_iv}.

{dlgtab:SE}

{phang}
{opt vce(vcetype)}; see {it:{help vce_option}}

{dlgtab:Reporting}

{phang}
{opt level(#)}; see {help estimation options##level():estimation options}.

{phang}
{opt first} specifies that the first-stage regressions to be displayed.

{phang}
{opt small} specifies that t statistics be reported instead of Z statistics,
and that F statistics be reported instead of chi-squared statistics.

{phang}
{opt theta} specifies that the output should include the estimated value of
theta used in combining the between and fixed estimators.  For balanced data,
this is a constant, and for unbalanced data, a summary of the values is
presented in the header of the output.


{title:Options for BE model}

{dlgtab:Model}

{phang}
{opth "i(varname:varname_i)"}; see {help estimation options##i():estimation options}.

{phang}
{opt be} requests the between regression estimator.

{phang}
{opt regress} specifies that all the covariates be treated as exogenous and
that the instrument list be ignored.  In other words, specifying {opt regress}
causes {cmd:xtivreg} to fit the requested panel-data regression model of
{it:depvar} on {it:varlist_1} and {it:varlist_2}, ignoring {it:varlist_iv}.

{dlgtab:SE}

{phang}
{opt vce(vcetype)}; see {it:{help vce_option}}

{dlgtab:Reporting}

{phang}
{opt level(#)}; see {help estimation options##level():estimation options}.

{phang}
{opt first} specifies that the first-stage regressions to be displayed.

{phang}
{opt small} specifies that t statistics be reported instead of Z statistics,
and that F statistics be reported instead of chi-squared statistics.


{title:Options for FE model}

{dlgtab:Model}

{phang}
{opth "i(varname:varname_i)"}; see {help estimation options##i():estimation options}.

{phang}
{opt fe} requests the fixed-effects (within) regression estimator.  

{phang}
{opt regress} specifies that all the covariates be treated as exogenous and
that the instrument list be ignored.  In other words, specifying {opt regress}
causes {cmd:xtivreg} to fit the requested panel-data regression model of
{it:depvar} on {it:varlist_1} and {it:varlist_2}, ignoring {it:varlist_iv}.

{dlgtab:SE}

{phang}
{opt vce(vcetype)}; see {it:{help vce_option}}

{dlgtab:Reporting}

{phang}
{opt level(#)}; see {help estimation options##level():estimation options}.

{phang}
{opt first} specifies that the first-stage regressions to be displayed.

{phang}
{opt small} specifies that t statistics be reported instead of Z statistics,
and that F statistics be reported instead of chi-squared statistics.


{title:Options for FD model}

{dlgtab:Model}

{phang}
{opth "i(varname:varname_i)"}; see {help estimation options##i():estimation options}.

{phang}
{opt fd} requests the first-differenced regression estimator.

{phang}
{opt regress} specifies that all the covariates be treated as exogenous and
that the instrument list be ignored.  In other words, specifying {opt regress}
causes {cmd:xtivreg} to fit the requested panel-data regression model of
{it:depvar} on {it:varlist_1} and {it:varlist_2}, ignoring {it:varlist_iv}.

{dlgtab:SE}

{phang}
{opt vce(vcetype)}; see {it:{help vce_option}}

{dlgtab:Reporting}

{phang}
{opt level(#)}; see {help estimation options##level():estimation options}.

{phang}
{opt first} specifies that the first-stage regressions to be displayed.

{phang}
{opt small} specifies that t statistics be reported instead of Z statistics,
and that F statistics be reported instead of chi-squared statistics.


{title:Also see}

{psee}
Manual:  {bf:[XT] xtivreg}

{psee}
Online:  {help xtivreg postestimation};{break}
{help xt}, {helpb xtabond}, 
{helpb xtdata}, {helpb xtdes}, {helpb xtgee}, {helpb xthtaylor}, 
{helpb xtintreg}, {helpb xtreg}, {helpb xtregar}, {helpb xtsum}, {helpb xttab},
{helpb xttobit}
{p_end}