[R] ivreg with fixed effect in R?

[Achim Zeileis]

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!
>
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