New subject: Fixed effects regression with instrumented variables

Wednesday, 1 December 2010

On Tue, 30 Nov 2010, Yangbo Du wrote:

...
 I am attempting to estimate a panel model consisting of 28 stacked
time
 series of 40 periods each; the pure rate of time preference (delta) is
 the dependent variable.  Is there a way of running an instrumented
 variables regression with fixed effects?  I have attached the data file
 for your reference and appreciate any assistance.  Thank you very much. 
You can use the "tsls" command.  Allow for fixed effects by
including group dummies (see the command "genr unitdum", section
5.4 in the Gretl User's Guide) or by first-differencing.

Allin Cottrell

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Re: [Gretl-users] Fixed effects regression with instrumented variables