[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
"Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Why won't my LDV correlate with the model error? |

Date |
Tue, 26 Oct 2004 03:05:14 +0100 (BST) |

All, This is such a basic problem, I don't understand why I can't find the solution, but here goes. In preparing to muck around with some -ivreg2- test code, I've been running some basic lagged-DV regressions in order to introduce an instrument into an IV regression. But there's a problem, as demonstrated by this simple model fitted to Garrett and Mitchell's (2001) data, which is freely available on request: . reg growthpc lgrowth trade lowwage fdi spend left Source | SS df MS Number of obs = 542 -----------+------------------------------ F( 6, 535) = 30.72 Model | 799.307961 6 133.217994 Prob > F = 0.0000 Residual | 2320.23777 535 4.33689303 R-squared = 0.2562 -----------+------------------------------ Adj R-squared = 0.2479 Total | 3119.54573 541 5.76625828 Root MSE = 2.0825 ---------------------------------------------------------------------------- growthpc | Coef. Std. Err. t P>|t| [95% Conf. Interval] -----------+---------------------------------------------------------------- lgrowth | .3161383 .0406073 7.79 0.000 .236369 .3959077 trade | .0173584 .0046084 3.77 0.000 .0083056 .0264113 lowwage | .0369588 .0139028 2.66 0.008 .009648 .0642696 fdi | -.1208743 .0647903 -1.87 0.063 -.2481489 .0064003 spend | -.061655 .0109351 -5.64 0.000 -.0831361 -.040174 left | .0005529 .0024729 0.22 0.823 -.004305 .0054107 _cons | 2.791203 .5986255 4.66 0.000 1.615258 3.967147 ---------------------------------------------------------------------------- . predict e, resid (70 missing values generated) . pwcorr e lgrowth trade lowwage fdi spend left, sig | e lgrowth trade lowwage fdi spend left -----------+--------------------------------------------------------------- e | 1.0000 | lgrowth | -0.0000 1.0000 | 1.0000 | trade | -0.0000 -0.0787 1.0000 | 1.0000 0.0553 | lowwage | 0.0000 0.1663 -0.6208 1.0000 | 1.0000 0.0000 0.0000 | fdi | -0.0000 -0.1124 0.3373 -0.2562 1.0000 | 1.0000 0.0087 0.0000 0.0000 | spend | 0.0000 -0.3736 0.5386 -0.4120 0.3258 1.0000 | 1.0000 0.0000 0.0000 0.0000 0.0000 | left | 0.0000 0.0088 0.1360 -0.1353 0.0552 0.1822 1.0000 | 1.0000 0.8314 0.0007 0.0008 0.1988 0.0000 No matter how small I make the model, I keep finding that the error is perfectly uncorrelated with the LDV (-lgrowth- in this case). Indeed, it's perfectly uncorrelated with _everything!_ Exactly the same happens if I: (1) restrict the model to just the first two explanatory variables; (2) estimate it with, say, -areg- and then -predict e, resid-, or; (3) if I change the -predict, resid- option to, say, -rstandard- (which barely changes the values in the correlation matrix). I don't know about you, but I think all this is odd. Any thoughts? Ta. CLIVE NICHOLAS |t: 0(044)7903 397793 Politics |e: clive.nicholas@ncl.ac.uk Newcastle University |http://www.ncl.ac.uk/geps Garrett G and Mitchell D (2001) "Globalization, Government Spending and Taxation in the OECD" EUR J POLIT RES 39(1): 145-77. The LDV, -lgrowth-, was created from the -growthpc- variable in their dataset. * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Why won't my LDV correlate with the model error?***From:*"Michael S. Hanson" <mshanson@mac.com>

**st: Default range for 'kdensity'***From:*"Camelia Minoiu" <cm2036@columbia.edu>

**References**:**st: Stata 9 Wish List***From:*cschecht@aecom.yu.edu

**Re: st: Stata 9 Wish List***From:*Nick Winter <nw53@cornell.edu>

- Prev by Date:
**Re: st: RE: how to upadate stata from version 8.1 to 8.2?** - Next by Date:
**st: Default range for 'kdensity'** - Previous by thread:
**Re: st: Stata 9 Wish List** - Next by thread:
**st: Default range for 'kdensity'** - Index(es):

© Copyright 1996–2015 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |