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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: Question on xthtaylor |

Date |
Thu, 26 Jul 2007 08:32:13 +0100 |

Suryadipta, Rodrigo, The way -xthtaylor- works is by transforming/creating variables, and then using -regress- to estimate the transformed equation. This equation uses IV estimation. The way -xtoverid- works is by doing the same transformation and then using -ivreg2- to estimate it. This generates a Sargan-Hansen overid stat that is reported by -xtoverid-. There's also an internal check that the transformed regression results from -ivreg2- are the same as those reported by the original -xthtaylor- estimation. Calling -xtoverid- with the undocumented -noisily- option will cause it to report this internal -ivreg2- estimation. Suryadipta, if you do this and -xtoverid- gets this far, you might be able to tell what's wrong or get the overid stat from the output. I suspect that what is causing the problem is the collinearity of yr1: it gets dropped by -xthtaylor-, and this may be causing -xtoverid- to get confused. Omitting it from the estimation by hand may solve the problem. In any case, Suryadipta, if you can send me your dataset offlist so I can reproduce the problem, I can fix the xtoverid bug. --Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Roy,Suryadipta > Sent: 26 July 2007 00:42 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: Question on xthtaylor > > 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. > >> * > >> * 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/ > >> > > > > * > > * 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/ > > > * > * 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/ > * * 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/

**Follow-Ups**:**Re: st: RE: Question on xthtaylor***From:*"Roy,Suryadipta" <suryadipta.roy@lawrence.edu>

**References**:**Re: st: RE: Question on xthtaylor***From:*"Roy,Suryadipta" <suryadipta.roy@lawrence.edu>

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