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
SarganHansen 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: ownerstatalist@hsphsun2.harvard.edu
[mailto:ownerstatalist@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 Rsq 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
HausmanTaylor 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: ownerstatalist@hsphsun2.harvard.edu
>> [mailto:ownerstatalist@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 Rsquare 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 timevarying
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
> HeriotWatt University, Edinburgh EH14 4AS tel
+441314513494 / fax
> +441314513296
> 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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>>
>
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