Re: st: RE: Question on xthtaylor

["Roy,Suryadipta" <suryadipta.roy@lawrence.edu>]

Dear Mark,

I tried out the regression with the year dummies 
introduced by hand, but the problem with -xtoverid- still 
persists. I have emailed you my dataset-- hope you have 
received it.

Thanks (everyone) for your help!
Suryadipta.


On Thu, 26 Jul 2007 08:32:13 +0100
 "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> wrote:

> 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.
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