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Re: st: RE: Question on xthtaylor


From   "Roy,Suryadipta" <suryadipta.roy@lawrence.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: RE: Question on xthtaylor
Date   Wed, 25 Jul 2007 18:42:19 -0500

Dear Nick, Rodrigo, and Mark,

Thank you very much indeed for your suggestions- I shall closely follow what Nick and Rodrigo had suggested as regards the R-sq and the robust standard errors. Meanwhile here is the output from -xthtaylor-, followed by -xtoverid- :

xthtaylor rhat2 corrupt x1 loggdp yr* logpopulat island landlocked, endog(corrupt x1 loggdp)
note: yr1 dropped due to collinearity
Hausman-Taylor estimation Number of obs = 1712
Group variable (i): id Number of groups = 121
Obs per group: min = 1
avg = 14.1
max = 16
Random effects u_i ~ i.i.d. Wald chi2(21) = 45.12
Prob > chi2 = 0.0017
------------------------------------------------------------------------------
rhat2 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
TVexogenous |
yr2 | .0035842 .0310919 0.12 0.908 -.0573547 .0645231
yr3 | .0281418 .0301447 0.93 0.351 -.0309406 .0872243
yr4 | .0379859 .029738 1.28 0.201 -.0202995 .0962714
yr5 | .0256643 .0296197 0.87 0.386 -.0323892 .0837178
yr6 | .0244164 .0298725 0.82 0.414 -.0341325 .0829654
yr7 | .0182896 .0302195 0.61 0.545 -.0409396 .0775188
yr8 | .017861 .030464 0.59 0.558 -.0418472 .0775693
yr9 | .0058436 .0305084 0.19 0.848 -.0539517 .0656389
yr10 | .0217139 .0307479 0.71 0.480 -.0385508 .0819786
yr11 | .0236914 .0310368 0.76 0.445 -.0371396 .0845224
yr12 | -.0067792 .0313415 -0.22 0.829 -.0682073 .0546489
yr13 | -.0104486 .0317474 -0.33 0.742 -.0726723 .0517751
yr14 | -.0093062 .0322576 -0.29 0.773 -.0725299 .0539175
yr15 | -.0097496 .0326688 -0.30 0.765 -.0737793 .0542801
yr16 | -.0071128 .0332515 -0.21 0.831 -.0722844 .0580589
logpopulat | -.0630136 .0467928 -1.35 0.178 -.1547258 .0286985
TVendogenous |
corrupt | -.231095 .0438374 -5.27 0.000 -.3170147 -.1451753
x1 | .0316134 .0058632 5.39 0.000 .0201217 .0431051
loggdp | -.0366722 .0434294 -0.84 0.398 -.1217922 .0484478
TIexogenous |
island | -.0773091 .262035 -0.30 0.768 -.5908883 .4362701
landlocked | .0981921 .2297618 0.43 0.669 -.3521327 .5485169
|
_cons | 1.175497 .9099886 1.29 0.196 -.6080481 2.959042
-------------+----------------------------------------------------------------
sigma_u | .88297205
sigma_e | .20390525
rho | .94937106 (fraction of variance due to u_i)
------------------------------------------------------------------------------
note: TV refers to time varying; TI refers to time invariant.
. . xtoverid
. invalid name
r(198);
I am using Stata 9 and regularly update all the codes from ssc. -xtoverid- ran alright when I used the example from stata (using xtoverid.hlp).

Thanks again for your invaluable inputs!

Suryadipta.




On Wed, 25 Jul 2007 22:40:40 +0100
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> wrote:

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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