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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. > >> > >> * > >> * 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/ > >> > > > > * > > * 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/ > > > > > 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 > __________________________________________________________________ > > * > * 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/ > * * 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: Newey-West (also follows xtivreg2)***From:*"Mark Schaffer" <M.E.Schaffer@hw.ac.uk>

**References**:**st: No attachments please***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**Re: st: Newey-West (also follows xtivreg2)***From:*"Andrea Molinari" <A.Molinari@sussex.ac.uk>

**Re: st: Newey-West (also follows xtivreg2)***From:*"Mark Schaffer" <M.E.Schaffer@hw.ac.uk>

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