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How to estimate a two stage fixed-effects regression

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How to estimate a two stage fixed-effects regression

Posted: Thu Jan 21, 2010 1:55 pm
by batanaich
I have been trying to use the two stage least squares specification to estimate the gravity model of trade using fixed effects model . to be specific, here are my problems, 1. can I generate a new variable using the cross-section individual effects and use it in the two stage estimation. 2. can I have a step by step procedure to carry out this process. I have been stuck for almost a fortnight now :cry:

thanks

Re: How to estimate a two stage fixed-effects regression

Posted: Thu Jan 21, 2010 2:04 pm
by startz
If y and x are your LHS and RHS variables, z is your instrument, and q holds the cross-section identifiers, you might try

Code: Select all

tsls y x @expand(q) @ z @expand(q)
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