Dear Stata Users,
Thank you so much for reading my post.
I would like to carry out instrumental variables and two-stage least squares for panel-data models using XTIVREG. However, I ran into the challenge of having an instrument that varies over time but does not vary over the product ID. My challenge is illustrated by the following dataset:
ID Month SalesRank FBAFees GasolinePrice
1 1 39563 3.96 3.782
1 2 96540 4.24 3.444
1 3 21310 4.24 3.541
1 4 37170 3.47 3.798
2 1 40247 5.4 3.782
2 2 50556 5.4 3.444
2 3 22251 5.4 3.541
2 4 30257 5.4 3.798
3 1 409 5.4 3.782
3 2 354 5.4 3.444
3 3 648 5.4 3.541
3 4 767 4.63 3.798
4 1 1226 5.4 3.782
4 2 1090 5.4 3.444
4 3 1207 5.4 3.541
4 4 1738 5.4 3.798
5 1 9113 5.4 3.782
5 2 11801 4.75 3.444
5 3 8431 4.75 3.541
5 4 13638 4.75 3.798
6 1 98707 3.96 3.782
6 2 125262 4.24 3.444
6 3 120474 4.24 3.541
6 4 35379 4.24 3.798
7 1 146329 3.96 3.782
7 2 139578 4.24 3.444
7 3 76410 4.75 3.541
7 4 151836 4.75 3.798
8 1 24420 4.75 3.782
8 2 12359 4.75 3.444
8 3 4182 4.75 3.541
8 4 5001 4.75 3.798
9 1 98993 7.38 3.782
9 2 69962 8.13 3.444
9 3 78277 8.13 3.541
9 4 69242 8.13 3.798
10 1 17312 4.75 3.782
10 2 13986 4.75 3.444
10 3 13473 4.75 3.541
10 4 30690 4.75 3.798
11 1 71248 4.75 3.782
11 2 39559 4.75 3.444
11 3 48265 4.75 3.541
11 4 41813 3.98 3.798
12 1 76878 6.75 3.782
12 2 49403 7.49 3.444
12 3 75122 7.49 3.541
12 4 74494 7.49 3.798
13 1 117994 3.96 3.782
13 2 167140 4.24 3.444
13 3 58382 4.24 3.541
13 4 78328 3.47 3.798
14 1 180105 5.4 3.782
14 2 80731 5.4 3.444
14 3 140701 5.4 3.541
14 4 183443 5.4 3.798
15 1 105144 3.96 3.782
15 2 68103 4.24 3.444
15 3 49684 4.24 3.541
15 4 46905 3.47 3.798
16 1 142 3.96 3.782
16 2 121 4.75 3.444
16 3 394 4.75 3.541
16 4 459 4.75 3.798
17 1 131767 5.4 3.782
17 2 151850 5.69 3.444
17 3 97051 5.69 3.541
17 4 169016 5.69 3.798
18 1 131767 5.4 3.782
18 2 148501 5.4 3.444
18 3 97051 5.4 3.541
18 4 165553 5.4 3.798
19 1 3379 6.08 3.782
19 2 2304 6.1 3.444
19 3 4009 6.1 3.541
19 4 4145 6.1 3.798
20 1 1892 5.4 3.782
20 2 2218 5.4 3.444
20 3 1455 5.4 3.541
20 4 1126 5.4 3.798
21 1 1226 5.4 3.782
21 2 1216 5.4 3.444
21 3 1207 4.75 3.541
21 4 1738 3.98 3.798
22 1 131767 6.08 3.782
22 2 151850 6.1 3.444
22 3 102292 6.1 3.541
22 4 169016 6.1 3.798
23 1 6313 3.96 3.782
23 2 7139 4.24 3.444
23 3 6259 4.24 3.541
23 4 8042 3.47 3.798
24 1 95594 13.78 3.782
24 2 2369 14.35 3.444
24 3 65903 14.35 3.541
24 4 53567 9.89 3.798
25 1 5496 5.4 3.782
25 2 4200 5.4 3.444
25 3 4679 5.4 3.541
25 4 6101 5.4 3.798
end
************************************************** *******
I intend to run the following regression:
xtivreg SalesRank (FBAFees = GasolinePrice) [Controls], fe
But as you can see, GasolinePrice does not vary by product ID but varies over time. Hence, I ask the following questions:
(1) Is there a way to use GasolinePrice in the above model that is justified in the econometric literature?
(2) Is there a way to create a new variable using GasolinePrice that can vary by time and product ID, which can be used in the above model?
(3) Has a similar challenge been faced and resolved in the econometric literature?
(4) Are there any other suggestions that you may have to circumvent or address this challenge?
Thank you so much for your help.
Thank you so much for reading my post.
I would like to carry out instrumental variables and two-stage least squares for panel-data models using XTIVREG. However, I ran into the challenge of having an instrument that varies over time but does not vary over the product ID. My challenge is illustrated by the following dataset:
ID Month SalesRank FBAFees GasolinePrice
1 1 39563 3.96 3.782
1 2 96540 4.24 3.444
1 3 21310 4.24 3.541
1 4 37170 3.47 3.798
2 1 40247 5.4 3.782
2 2 50556 5.4 3.444
2 3 22251 5.4 3.541
2 4 30257 5.4 3.798
3 1 409 5.4 3.782
3 2 354 5.4 3.444
3 3 648 5.4 3.541
3 4 767 4.63 3.798
4 1 1226 5.4 3.782
4 2 1090 5.4 3.444
4 3 1207 5.4 3.541
4 4 1738 5.4 3.798
5 1 9113 5.4 3.782
5 2 11801 4.75 3.444
5 3 8431 4.75 3.541
5 4 13638 4.75 3.798
6 1 98707 3.96 3.782
6 2 125262 4.24 3.444
6 3 120474 4.24 3.541
6 4 35379 4.24 3.798
7 1 146329 3.96 3.782
7 2 139578 4.24 3.444
7 3 76410 4.75 3.541
7 4 151836 4.75 3.798
8 1 24420 4.75 3.782
8 2 12359 4.75 3.444
8 3 4182 4.75 3.541
8 4 5001 4.75 3.798
9 1 98993 7.38 3.782
9 2 69962 8.13 3.444
9 3 78277 8.13 3.541
9 4 69242 8.13 3.798
10 1 17312 4.75 3.782
10 2 13986 4.75 3.444
10 3 13473 4.75 3.541
10 4 30690 4.75 3.798
11 1 71248 4.75 3.782
11 2 39559 4.75 3.444
11 3 48265 4.75 3.541
11 4 41813 3.98 3.798
12 1 76878 6.75 3.782
12 2 49403 7.49 3.444
12 3 75122 7.49 3.541
12 4 74494 7.49 3.798
13 1 117994 3.96 3.782
13 2 167140 4.24 3.444
13 3 58382 4.24 3.541
13 4 78328 3.47 3.798
14 1 180105 5.4 3.782
14 2 80731 5.4 3.444
14 3 140701 5.4 3.541
14 4 183443 5.4 3.798
15 1 105144 3.96 3.782
15 2 68103 4.24 3.444
15 3 49684 4.24 3.541
15 4 46905 3.47 3.798
16 1 142 3.96 3.782
16 2 121 4.75 3.444
16 3 394 4.75 3.541
16 4 459 4.75 3.798
17 1 131767 5.4 3.782
17 2 151850 5.69 3.444
17 3 97051 5.69 3.541
17 4 169016 5.69 3.798
18 1 131767 5.4 3.782
18 2 148501 5.4 3.444
18 3 97051 5.4 3.541
18 4 165553 5.4 3.798
19 1 3379 6.08 3.782
19 2 2304 6.1 3.444
19 3 4009 6.1 3.541
19 4 4145 6.1 3.798
20 1 1892 5.4 3.782
20 2 2218 5.4 3.444
20 3 1455 5.4 3.541
20 4 1126 5.4 3.798
21 1 1226 5.4 3.782
21 2 1216 5.4 3.444
21 3 1207 4.75 3.541
21 4 1738 3.98 3.798
22 1 131767 6.08 3.782
22 2 151850 6.1 3.444
22 3 102292 6.1 3.541
22 4 169016 6.1 3.798
23 1 6313 3.96 3.782
23 2 7139 4.24 3.444
23 3 6259 4.24 3.541
23 4 8042 3.47 3.798
24 1 95594 13.78 3.782
24 2 2369 14.35 3.444
24 3 65903 14.35 3.541
24 4 53567 9.89 3.798
25 1 5496 5.4 3.782
25 2 4200 5.4 3.444
25 3 4679 5.4 3.541
25 4 6101 5.4 3.798
end
************************************************** *******
I intend to run the following regression:
xtivreg SalesRank (FBAFees = GasolinePrice) [Controls], fe
But as you can see, GasolinePrice does not vary by product ID but varies over time. Hence, I ask the following questions:
(1) Is there a way to use GasolinePrice in the above model that is justified in the econometric literature?
(2) Is there a way to create a new variable using GasolinePrice that can vary by time and product ID, which can be used in the above model?
(3) Has a similar challenge been faced and resolved in the econometric literature?
(4) Are there any other suggestions that you may have to circumvent or address this challenge?
Thank you so much for your help.
