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


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Newey-West (also follows xtivreg2)
Date   Tue, 20 Sep 2005 14:16:25 +0100

Andrea,

From:           	"Andrea Molinari" <A.Molinari@sussex.ac.uk>
To:             	<statalist@hsphsun2.harvard.edu>
Subject:        	Re: st: Newey-West (also follows xtivreg2)
Date sent:      	Tue, 20 Sep 2005 11:25:45 +0100
Send reply to:  	statalist@hsphsun2.harvard.edu

> 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.

You must be doing something that messes up your panel/year variables.

Try cutting down the number of commands to the minimum that produces 
the error.  For example, what happens when start with your 
untransformed dataset and issue just the following 3 commands, in 
this order:

tsset mx year

xtdata lremmetal lrepmetalg lrecmetalg lrgdp95pcm lrgdp95pcx lbrer
btmetal, fe

tsset mx year


--Mark


> 
> 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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> >
> 
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.hw.ac.uk/cert

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