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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 11:25:45 +0100

Mark,

Thanks for your reply. Sorry I was unclear. I did apply -xtdata, fe- only to
the variables of my regression:

xtdata lremmetal lrepmetalg lrecmetalg lrgdp95pcm lrgdp95pcx lbrer btmetal,
fe

but got the tsset error.

I don't have the same problem with -xtreg, fe-, but this command does not
allow me to estimate robust or AC standard errors (at least with my 8.2
version).

Any further ideas?

Many thanks,

Andrea
----- Original Message ----- 
From: "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Cc: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, September 20, 2005 11:13 AM
Subject: Re: st: Newey-West (also follows xtivreg2)


> Andrea,
>
> The problem is that
>
> xtdata, fe
>
> is being applied to every variable in your dataset, including your panel
> and time variables.  This is why -tsset- complains - the transformed
> variable year is now in mean-deviatin form.
>
> You should list the variables explicitly and then things should work.
>
> Also, do you have the same problem with your dummies if you use xtreg,fe?
> If so, then my almost-but-not-quite-ready -xtivreg2- won't be of any help.
>
> --Mark
>
> > 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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> >>
> >
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> >
>
>
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS
> tel +44-131-451-3494 / fax +44-131-451-3294
> email: m.e.schaffer@hw.ac.uk
> web: http://www.sml.hw.ac.uk/ecomes
>
>
>
> __________________________________________________________________
>
> DISCLAIMER:
>
> This e-mail message is subject to http://www.hw.ac.uk/disclaim.htm
> __________________________________________________________________
>
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