R help - Oct 2013 - ivreg with fixed effect in R?

I want to estimate the following fixed effect model:
y_i,t = alpha_i + beta_1 x1_t + beta_2 x2_i,tx2_i,t = gamma_i + gamma_1
x1_t + gamma_2 Z1_i + gamma_3 Z2_i
I can use ivreg from AER to do the iv regression.
fm <- ivreg(y_i,t ~  x1_t + x2_i,t |                x1_t + Z1_i + Z2_i,
        data = DataSet)
But, I'm not sure how can I add the fixed effects.

Thanks!

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On Sat, 19 Oct 2013, Ignacio Martinez wrote:
> I want to estimate the following fixed effect model:
> y_i,t = alpha_i + beta_1 x1_t + beta_2 x2_i,tx2_i,t = gamma_i + gamma_1
> x1_t + gamma_2 Z1_i + gamma_3 Z2_i
> I can use ivreg from AER to do the iv regression.
> fm <- ivreg(y_i,t ~  x1_t + x2_i,t |                x1_t + Z1_i + Z2_i,
>        data = DataSet)
> But, I'm not sure how can I add the fixed effects.
You can simply add a factor coding the variable with respect to which you 
want to compute fixed effects. In help("Fatalities", package =
"AER")
there is an example (starting with "pp. 360") that shows how to do
this
for OLS. In principle, the same approach can be used for IV.
> Thanks!
>
> 	[[alternative HTML version deleted]]
>
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>

The summary currently doesn't provide this feature. But you can use
something like coeftest(obj)[1:3,] or coeftest(obj)["myreg",] or
something like that...


(sent from mobile phone)

-------- Original message --------
From: Ignacio Martinez <ignacio82@gmail.com> 
Date:  
To: Achim Zeileis <Achim.Zeileis@uibk.ac.at> 
Cc: r-help <r-help@r-project.org> 
Subject: Re: [R] ivreg with fixed effect in R? 
 
Thanks. 

One more question. When I do summary to see the coefficients how can i tell R to
print just some of the coefficients?

Thanks again 


On Sat, Oct 19, 2013 at 7:29 AM, Achim Zeileis <Achim.Zeileis@uibk.ac.at>
wrote:
On Sat, 19 Oct 2013, Ignacio Martinez wrote:

I want to estimate the following fixed effect model:
y_i,t = alpha_i + beta_1 x1_t + beta_2 x2_i,tx2_i,t = gamma_i + gamma_1
x1_t + gamma_2 Z1_i + gamma_3 Z2_i
I can use ivreg from AER to do the iv regression.
fm <- ivreg(y_i,t ~  x1_t + x2_i,t |                x1_t + Z1_i + Z2_i,
       data = DataSet)
But, I'm not sure how can I add the fixed effects.

You can simply add a factor coding the variable with respect to which you want
to compute fixed effects. In help("Fatalities", package =
"AER") there is an example (starting with "pp. 360") that
shows how to do this for OLS. In principle, the same approach can be used for
IV.

Thanks!

        [[alternative HTML version deleted]]

______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.



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