面板工具变量问题

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面板数据进行工具变量回归，和横截面数据一样不一样，也是ivreg 2sls y  x1 x2 (x3=工具变量）,r  吗

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关键词：工具变量 横截面数据 IVREG 面板数据 截面数据 横截面

看帮助或者手册
或者microeconometrics  using stata

xtivreg      Instrumental variables and two-stage least squares for panel-data models
Title

    [XT] xt -- Introduction to xt commands


Syntax

        xtcmd ...


Description

    The xt series of commands provide tools for analyzing panel data (also known as longitudinal data or in some
    disciplines as cross-sectional time series when there is an explicit time component).  Panel datasets have the
    form x_[it], where x_[it] is a vector of observations for unit i and time t.  The particular commands (such as
    xtdescribe, xtsum, and xtreg) are documented in alphabetical order in the entries that follow this entry.  If you
    do not know the name of the command you need, try browsing the second part of this description section, which
    organizes the xt commands by topic.  Remarks of [XT] xt describes concepts that are common across commands.

    The xtset command sets the panel variable and the time variable; see [XT] xtset.  Most xt commands require that
    the panel variable be specified, and some require that the time variable also be specified.  Once you xtset your
    data, you need not do it again.  The xtset information is stored with your data.

    If you have previously tsset your data by using both a panel and a time variable, these settings will be
    recognized by xtset, and you need not xtset your data.

    If your interest is in general time-series analysis, see [U] 26.16 Models with time-series data and the
    Time-Series Reference Manual.

    Data management and exploration tools

        xtset        Declare data to be panel data
        xtdescribe   Describe pattern of xt data
        xtsum        Summarize xt data
        xttab        Tabulate xt data
        xtdata       Faster specification searches with xt data
        xtline       Line plots with xt data


    Linear regression estimators

        xtreg        Fixed-, between- and random-effects, and population-averaged linear models
        xtregar      Fixed- and random-effects linear models with an AR(1) disturbance
        xtmixed      Multilevel mixed-effects linear regression
        xtgls        Panel-data models using GLS
        xtpcse       Linear regression with panel-corrected standard errors
        xthtaylor    Hausman-Taylor estimator for error-components models
        xtfrontier   Stochastic frontier models for panel data
        xtrc         Random-coefficients regression
        xtivreg      Instrumental variables and two-stage least squares for panel-data models

非常感谢！

蓝色 发表于 2013-10-7 11:45
看帮助或者手册
或者microeconometrics  using stata

请教楼主，如果只找到一个工具变量的话，可以用ivregress，xtivreg或xtivreg2么？那还需要做什么相应的检验呢？

需要什么检验是根据计量经济学理论来确定的。
不是由stata来决定的。

面板数据与非面板是类似的，只是更加复杂而已。
看相关高级的计量经济学教程
伍德里奇的Econometric Analysis of Cross Section and Panel Data
Badi H. Baltagi 的Econometric Analysis of Panel Data

请教楼上版主：
(1)检验是否需要用工具变量，即是否所有解释变量均为外生变量时，有命令：hausman iv ols, constant sigmamore,这条命令是否也适用于面板数据工具变量的检验？
（2）在普通横截面数据中工具变量与解释变量的相关性使用stata命令：estat firststage, all forcenonrobust检验是否是弱工具变量，而这条命令是否也适用于面板数据工具变量的检验？
（3）考查工具变量是否外生，有一个命令：estat overid,这条命令是否也适用于面板数据工具变量的检验？
谢谢！

检验使用固定效应还是随机效应的面板工具变量模型也是用huasman检验吗

是用huasman检验

普通回归可以y=a+bx1+cx2+dx2*x3,面板工具变量回归也可以y=a+bx1+cx2+dx2*x3吗，其中x2是内生变量，选取另外的变量z作为工具变量