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

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

Subject |
RE: st: Using 2 stage Heckmen Sample Selection with Lags in STATA |

Date |
Thu, 2 Aug 2007 17:41:35 +0100 |

Seema, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Seema Bhatia > Sent: 02 August 2007 16:18 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: Using 2 stage Heckmen Sample Selection with > Lags in STATA > > Dear Austin <snip> > As far as the Hausman test goes, I used the same model that I > intend to use in my analysis (bilateral trade as a function > of gdps, populations, distance, contiguity, membership of > agreements, infrastructure indices etc) and tested for fixed > effects, then random effects. therefore > > xtreg dependentvar independentvar1 independentvar2 > independentvar3 ... , fe then xtreg dependentvar > independentvar1 independentvar2 independentvar3 ... , re > > having stored both these, i went on to do the hausman test > and got an insignificant P-value, therefore justifying the > use of random effects model. FYI, xtoverid, available from ssc-ideas in the usual way, will do heteroskedastic and/or cluster-robust Hausman-type tests afer xtreg. Cheers, Mark > > Am not familiar with the ssc inst mim or a lot of statistical > jargon to be honest so wouldn't have a clue! > > thanks > > seema > > > > Seema-- > > I am not familiar with the "standard gravity model" though > I suspect > > it models trade as a function of the reciprocal of the square of > > distance along an ellipsoid between the centroids of two countries, > > among other things. This seems inappropriate for various reasons > > (even if using production- or population-weighted centroids, the > > relevant distance is not as the crow flies--e.g. contiguity > is likely > > more important, as are topographical features, and historical > > relationships/religion/language/etc. even more important) though if > > the model is "standard" I suppose am unlikely to talk you out of it. > > > > For the missing data, have you considered multiple imputation (-ssc > > inst mim- etc.)? Is the pattern of missing data nonrandom > according > > to some functional relationship you know something about, or do you > > characterize as nonrandom because some countries have more missings > > than others? Note that -mim- supports -xtpoisson- among other > > commands. > > > > In what sense does a Hausman test require you to use a > random effects > > model? What were your commands and output for the Hausman > test? Note > > also you may want a Hausman test robust to serial correlation: > > http://www.stata.com/statalist/archive/2004-08/msg00548.html > > though if you are focusing on sub-Saharan Africa you may not have > > enough countries to claim a cluster-robust estimator is justified > > (asymptotic in number of clusters; 50 clusters is enough for most > > purposes). > > > > It seems to me that the endogeneity issue is bigger than > the missing > > data or specification issues. Countries that trade more > will produce > > more output, etc. This is an even bigger problem in a dynamic > > setting--how do empirical studies on trade deal with this? > Perhaps you > > need -xtivreg2- (ssc inst xtivreg2) and some valid instruments? > > > > On 8/2/07, Seema Bhatia <ler02sb@reading.ac.uk> wrote: > >> Hi Austin > >> > >> Thanks for your input. > >> > >> In my case, bilateral trade between a country pair (Xij) > is measured > >> as import value (CIF import values in US$ deflated by the > appropriate > >> price > >> deflator) i.e. exports from country j are imports into > country i as > >> it is done in a standard gravity model. this bilateral > trade in sub > >> Saharan Africa is being modelled as a function of gdps, > populations, > >> distance, landlockedness, contiguity, some calculated > infrastructure > >> indices and regional trade groups etc. in order to study > the impact > >> of trade agreements within the region. > >> > >> In terms of the missing data, I am lucky to have data for a lot of > >> the country pairs since these are all in Sub Saharan Africa where > >> data is a huge issue, particularly those that are war torn > and in the > >> early years of my analysis (1985-1994). I have scouted all > possible > >> datasources and compiled the import values where missing. > >> > >> There are two issues with the missing data. There are both > zeroes or > >> no data available for several country pairs over the > years. Since my > >> major data source has made that distinction specifically, I have > >> decided that zero will be an answer (meaning there was zero trade) > >> while I still need to account for the missing values/not reported > >> (meaning we dont know if there was trade or not) data - > the pattern > >> for this is non random which is why I am keen on using a sample > >> selection bias correction method to account for it. > >> > >> A Hausman test has also revealed that I am required to fit > a random > >> effects model for my analysis. So I was hoping that I > could do this > >> within the Panel-Heckman setting. Am exploring gllamm at > the moment > >> but am still quite unclear on how to go about it as > econometrics is > >> not really my forte. > >> > >> Please let me know if I have given you enough details here, as a > >> typical PhD wannabe, I usually tend to think everyone > knows what i am > >> talking about. > >> > >> Many thanks > >> > >> Seema > >> > >>> Seema-- > >>> I think I already answered the question about the > -heckman- approach > >>> likely being hard in your panel data, or perhaps > impossible without > >>> a significant investment in learning -gllamm- on your part, or > >>> perhaps writing new routines. But I still don't see necessary > >>> detail in your description of the data--how are you > measuring trade? > >>> Volume of > >>> exports+imports? Net exports? Indicator for any trade > at all? Why > >>> exports+is > >>> there missing data as opposed to just zeros for your LHS var? If > >>> you've got trade measured as a strictly positive variable and > >>> missings where no trade exists, then you can replace trade=0 if > >>> mi(trade) and run xtpoisson with country pair fixed > effects, right? > >>> > > * > > * 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: Using 2 stage Heckmen Sample Selection with Lags in STATA***From:*"Seema Bhatia" <ler02sb@reading.ac.uk>

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