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RE: st: RE: Question on xthtaylor


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.
> >> >> *
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