Is there anyone who can tell me why Stata gives me the conformability
error when I try to run a procedure to implement Murphy and Topel std.
errors. Thanks so much
This is the first stage :
reg dr ros leve
size score lfondi roa ratio ownersh1 ownersh2 provincia*, cluster
(provist) noconstant
predict double drhat
predict double res, res
gen
double res2=res^2
quietly sum res2
scalar mse = r(mean)
matrix V1 = (e
(df_r)/e(N))*e(V)
gen double s1 = res*(1/mse)
save M-Topel1, replace
This is the second stage:
reg impr drhat south lva81, robust
predict
double imprhat
predict double ress, res
gen double ress2=ress^2
quietly
sum ress2
scalar mse = r(mean)
matrix V2 = (e(df_r)/e(N))*e(V)
gen
double s2 = ress*(1/mse)
scalar drdr= _b[drhat]
matrix accum C = ros
leve size score lfondi roa ratio ownersh1 ownersh2 provincia* drhat
south lva81 /*
*/[iw=(impr-imprhat)*
(impr-imprhat)*drhat*(1-drhat)*drdr], nocons
matrix accum R = ros leve
size score lfondi roa ratio ownersh1 ownersh2 provincia* drhat south
lva81 /*
*/[iw=(impr-imprhat)*(dr-
drhat)], nocons
matrix C = C[ 6..10,1..5]
matrix R = R[ 6..10,1..5]
matrix M = V2+(V2*(C*V1*C' - R*V1*C' - C*V1*R')*V2)
*
* 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/
