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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   Thu, 26 Jul 2007 09:51:14 -0500

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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