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st: Re: RE: Question on xthtaylor


From   "Rodrigo A. Alfaro" <raalfaroa@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: RE: Question on xthtaylor
Date   Wed, 25 Jul 2007 19:44:51 -0400

Mark,

I don't think that one can run directly an overidentification test after HT procedure. The model is estimated in transformed variables, then "by hand" it will be more clear to apply any test.

Rodrigo.



----- Original Message ----- From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, July 25, 2007 5:40 PM
Subject: st: RE: Question on xthtaylor



Suryadipta,

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
Roy,Suryadipta
Sent: 25 July 2007 18:44
To: statalist@hsphsun2.harvard.edu
Subject: st: Question on xthtaylor

Hi,

There have been a few threads on the first one, but I am
still asking the question to find out if there is an easier solution:

1. Is there a command to obtain robust/ cluster(robust)
standard errors while using xthtaylor (as in xtreg, fe or xtreg, re)?

2. Is there a command to obtain R-square while using xthtaylor?

3. Moreover, after I run xthtaylor, I am trying to do the
overidentifiaction test with -xtoverid- but I am getting an
error message : "invalid name". I only have time-varying
variables as endogenous variables.
It's impossible to tell what's going wrong with just the information
you've provided.  Can you post the estimation results and xtoverid
output, plus the versions of xthtaylor and xtoverid?  Then maybe we can
tell if it's a problem with your estimation, xthtaylor, or xtoverid.

--Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes


Any comment on these issues would be really helpful.
Thanks as usual!
Suryadipta.
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