How to use the areg command while doing IV estimation. I have to do IV regression and absorb the fixed effects.
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Try ivreghdfe from SSC.
Code:ssc install ivreghdfe, replace help ivreghdfe
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Or you can -xtset- your data on the variable you want to absorb, and then use -xtivreg, fe-. Like this:
Code:. sysuse auto (1978 automobile data) . xtset rep Panel variable: rep78 (unbalanced) . xtivreg price (mpg = headroom), fe Fixed-effects (within) IV regression Number of obs = 69 Group variable: rep78 Number of groups = 5 R-squared: Obs per group: Within = 0.1865 min = 2 Between = 0.0014 avg = 13.8 Overall = 0.2079 max = 30 Wald chi2(1) = 355.62 corr(u_i, Xb) = -0.3037 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ price | Coefficient Std. err. z P>|z| [95% conf. interval] -------------+---------------------------------------------------------------- mpg | -141.1654 194.5471 -0.73 0.468 -522.4707 240.14 _cons | 9151.434 4154.702 2.20 0.028 1008.368 17294.5 -------------+---------------------------------------------------------------- sigma_u | 839.33196 sigma_e | 2709.2552 rho | .08757219 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(4,63) = 0.28 Prob > F = 0.8920 ------------------------------------------------------------------------------ Instrumented: mpg Instruments: headroom .Comment
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