<P>I try to replicate the table 8.1 of the book "Econometric Analysis of Panel Data" (Baltagi, 3rd. Edition)</P>
<P>For the FD2SLS estimation I get the wrong answer.</P>
<P>. xtivreg lnc lnp lnpn lny (l.lnc=l.lnp l.lnpn l.lny) ydum2-ydum30, fd</P>
<P>First-differenced IV regression Number of obs = 1288<BR>Group variable: state Number of groups = 46</P>
<P>R-sq:within= 0.7214 Obs per group: min = 28<BR> between = 0.9993 avg = 28.0<BR> overall = 0.7746 max = 28</P>
<P> chi2(31) = 517.04<BR>corr(u_i, Xb)= 0.5481 Prob &gt; chi2 = 0.0000</P>
<P>------------------------------------------------------------------------------<BR> d.lnc | Coef. Std. Err. z P&gt;|z| [95% Conf. Interval]<BR>-------------+----------------------------------------------------------------<BR> lnc |<BR> LD. | .2667006 .0664638 4.01 0.000 .1364341 .3969672<BR> lnp |<BR> D1. |-.3857637 .0287328 -13.43 0.000 -.442079 -.3294485<BR> lnpn |<BR> D1. | .01763 .0374006 0.47 0.637 -.0556738 .0909339<BR> lny |<BR> D1. | .1684187 .046402 3.63 0.000 .0774725 .2593649<BR>------------------------------------------------------------------------------------------------</P>
<P>The correct answer is much bigger than mine, and I do not understand why?</P>
<P>The modified data is uploaded for your convenience.</P>
<P>I apprecaite your help</P><BR>