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From |
<M.R.Sanchis-Guarner-Herrero@lse.ac.uk> |

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

Subject |
st: Hausman-Taylor model, general doubts |

Date |
Wed, 28 Nov 2007 20:01:51 -0000 |

I am a PhD student and I am currently working in a gravity-type model for migrations. My individuals are the different origin-destination pairs and I have 2208 individuals and 15 T. I initially estimated my model by POLS (with cluster-robust s.e.) and then by RE, because I did not want to lose the gravity variables like distances or borders. The BP-test (1980) was in favour of the second option. But I don't think the assumptions of orthogonality between the individual effect and the regressors hold, so after some research I think it may be useful to estimate a Hausman-Taylor (1981) model. I have also skimmed some of the Peter Egger papers and he states that to estimate the gravity model from a PD approach, one should use HT. I have read the Stata help on the web and I got kind of lost, so I wanted to ask you for some help, especially on two issues: - I have both time variant (like wages or amenities) and time invariants (like distances and some dummies) as regressors for a share of migrations. All the regressors are lagged one year wrt the dependent vble. How do I decide which variables are correlated or uncorrelated to the individual effects? As I understand, in the HT model, the time-invariant variables correlated with the indiv effects are instrumented as they are treated as endogeneous and we can use the time-varying regressors to do so (in the original model). So, how do I identify which are strictly exogeneous?? - Then, I also read that the HT command in Stata does not control for heter/AC. Is it better to control for it to assure we have robust s.e.? Is there a way to control for this in Stata? I am sorry if I am going over already asked questions. Thanks for your help -------------- Rosa "If we knew what it was we were doing, it would not be called research, would it?" - Albert Einstein Please access the attached hyperlink for an important electronic communications disclaimer: http://www.lse.ac.uk/collections/secretariat/legal/disclaimer.htm * * 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/

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