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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 16:09:05 +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 15:39:41 +0100
Send reply to:  	statalist@hsphsun2.harvard.edu

> Mark,
> 
> The problem is that when I do
> 
> xtdata lremmetal lrepmetalg lrecmetalg lrgdp95pcm lrgdp95pcx lbrer btmetal,
> fe
> 
> the variable "year" disappears

Try downloading and using Ben Jann's -center- program.  This will 
create mean-deviation variables without dropping or overwriting.

I do plan to make xtivreg2 available, but I have to find the time to 
finish it off....

--Mark

> I thought I could get away including "year" in xtdata, and then taking the
> integer of year (as tsset didn't take non-integers):
> 
> xtdata lremmetal lrepmetalg lrecmetalg lrgdp95pcm lrgdp95pcx lbrer btmetal
> year, fe
> 
> replace year=int(year)
> tsset mx year
> 
> and get similar results to my -newey2- with the individual (fe) dummies, so
> it does seem to be doing the job (at least in a few regressions I tried so
> far). The problem is that this changes the years in a non-systematic way and
> I cannot recover them in the original way.
> 
> Maybe your xtivreg2 would help... Do you plan to post it when it's "ready"?
> 
> Many thanks again,
> 
> Andrea
> 
> ----- Original Message ----- 
> From: "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Tuesday, September 20, 2005 2:16 PM
> Subject: Re: st: Newey-West (also follows xtivreg2)
> 
> 
> > 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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> >
> 
> *
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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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