Hausman-Taylor IV Panel

Friday, 6 September 2013

Hi all,

I am trying to replicate Baltagi's example of the HT-IV. I wrote the
following small function, but do not obtain exactly his results (see
txt-file attached).
Actually, I am not so sure whether I've used the correct (transformed)
instruments.
Maybe somebody of you has already dealt with this, and may help me out.

<hansl>
open Baltagi_schooling_wage.gdt --quiet

series EXP2 = EXP_^2

#	List definition
list X1 = OCC_ SOUTH_ SMSA_ IND_	#TV exogeneous
list Z1 = FEM_ BLK_			#Time-invariant exogeneous
list X2 = EXP_ EXP2 WKS_ MS_ UNION_	#TV endogenoeus
list Z2 = ED_				#TIV endogenoeus

function void xthtaylor (series Y "dependent",
    list X1 "TV exog.",
    list Z1 "TIV exog.",
    list X2 "TV endog.",
    list Z2 "TIV endog.")

    # X2(i,t) are instrumented by their deviation from individual means
xbar2(i)
    list X2inst = null
    loop foreach i X2 -q
        series dev_$i =X2.$i - pmean(X2.$i)
        X2inst += dev_$i
    endloop

    # Z2(i) are instrumented by the individual avg of X1(i,t)
    list Z2inst = null
    loop foreach i X1 -q
        series m_$i = pmean(X1.$i)
        Z2inst += m_$i
    endloop

    #TSLS - Hausman-Taylor (HT)
    tsls Y const X1 X2 Z1 Z2 ; const X1 X2inst Z1 Z2inst --no-tests
end function

xthtaylor(LWAGE,X1,Z1,X2,Z2)
<\hansl>

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