[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

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

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

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

Date |
Sat, 28 Jul 2007 18:05:01 +0100 |

Just to close part of this thread, it turns out that Suryadipta found a bug in -xtoverid-, namely it crashed after estimation using -xthtaylor- with empty varlists (e.g., estimation no time-invariant endogenous variables). I've fixed the bug, and the new version of -xtoverid- is available from ssc-ideas, with thanks as usual to Kit Baum. --Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Roy,Suryadipta > Sent: 26 July 2007 15:51 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: Question on xthtaylor > > 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. > >> >> * > >> >> * 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/ > > > * > * 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/

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

- Prev by Date:
**Re: st: Re: Problems with survey sub-group analysis using Stata** - Next by Date:
**st: generate** - Previous by thread:
**Re: st: RE: Question on xthtaylor** - Next by thread:
**st: Week() Function** - Index(es):

© Copyright 1996–2015 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |