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Re: st: Newey-West (also follows xtivreg2)


From   "Andrea Molinari" <A.Molinari@sussex.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Newey-West (also follows xtivreg2)
Date   Tue, 20 Sep 2005 10:44:37 +0100

Appologies if this message comes across twice, I'm having problems with my
server this morning...
----------------------
Clive,

Thanks for your suggestion. I didn't show an output because I was just
trying to find a more efficient and less time-consuming solution to
estimating a fixed effects model which has HAC-corrected standard errors.  I
tried -ivreg2- and it works fine for pooled OLS, but, as with -newey2- (and
as far as I understood), it would only estimate a fixed effects model when
introducing the dummies myself (hence running the risk of some of them being
dropped. Do you know of any other way?

I tried first converting the data with -xtdata,fe- (following what Joanna
found in the archive), but when I then try to run ivreg2 I get an error
message. What I did was:

use datas.dta, clear
iis mx

tis year

tsset mx year



xtdata, fe



ivreg2 lremmetal lrepmetalg lrecmetalg lrgdp95pcm lrgdp95pcx lbrer btmetal
rcametalx, bw(2) robust small
must tsset data and specify timevar



************

and if I do (again):



tsset mx year



I get the error message:



"time variable must contain only integer values"




I hope that's clearer than in my previous email. I saw a reply by Mark
Schaffer saying that he had a version of -xtivreg2- for fixed effects, and
it would be great trying it... Any suggestions would be more than
welcomed!!!



Many thanks,

Andrea



----------------------------------------------------------------------------
-------------

Date: Mon, 19 Sep 2005 22:01:02 +0100 (BST)
From: "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
Subject: Re: st: XTIVREG2

Joana,

I have a working version of "xtivreg2", but it does only fixed effects
estimation.

However, I'm not sure that you actually have a problem.  When doing a
Hausman test for endogeneity in IV estimation, the differenced variance
matrix typically isn't of full rank.  -hausman- will print out a warning
that "(V_b-V_B is not positive definite)", but it doesn't indicate that
anything is actually wrong.

If you try doing the endogeneity test for simple IV estimation that is in
the manuals somewhere, you'll probably find that the same warning message
appears.

Hope this helps.

Cheers,
Mark

----- Original Message ----- 
From: "Clive Nicholas" <Clive.Nicholas@newcastle.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, September 20, 2005 8:20 AM
Subject: Re: st: Newey-West


> Andrea Molinari wrote:
>
> > I am trying to estimate a fixed effects model with heteroscedasticity
and
> > serially correlated corrected standard errors. I am currently using
> > -newey2- and including the fixed effects as dummies, but I thought that
> > maybe STATA has a safer (as some of the dummies get dropped on the
> way, > changing the interpretation of other dummies in the model) and
> more
> > efficient way (it takes me quite a while to estimate each
specification).
>
> [...]
>
> You show no output, which hinders us from giving you any proper help. I
> would suggest trying Baum/Schaffer/Stillman's -ivreg2- with the -bw(2)-,
> -robust- and -small- options switched on and see what happens.
>
> CLIVE NICHOLAS        |t: 0(044)7903 397793
> Politics              |e: clive.nicholas@ncl.ac.uk
> Newcastle University  |http://www.ncl.ac.uk/geps
>
> Whereever you go and whatever you do, just remember this. No matter how
> many like you, admire you, love you or adore you, the number of people
> turning up to your funeral will be largely determined by local weather
> conditions.
>
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