Re: st: RE: stata drops variable at random

[Marck Bulter <177316mb@student.eur.nl>]

Schaffer, Mark E wrote:
> Marck,
>
>   
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> > Marck Bulter
> > Sent: 09 December 2007 17:24
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: stata drops variable at random
> >
> > Dear all,
> >
> > Currently I am working on a panel data regression. Main 
> > problem is that Stata drops variables at random immediately 
> > after a performed regression.
> > For example if the following regression is performed:
> >
> > xtivreg pstrmon price mat age coup pstrmonprev pstrprev intr 
> > ivol compl (precmon = price mat age coup pstrmonprev pstrprev 
> > intr ivol compl
> > precmonprev)
> >
> > Stata drops often one of the above variables, or the ID-var 
> > or the Time-Var
> >     
> There's a basic misunderstanding here.  In
>
> xtivreg y x1 x2 x3 (y1 y2 y3 = z1 z2 z3)
>
> the sets of xs, ys and zs shouldn't overlap: the xs are the included
> exogenous regressors, the ys are the included endogenous regressors, and
> the zs are the excluded instruments.
>
> In your example, you have included all your xs in the list of zs.
> Naturally, Stata finds collinearities and drops variables.  The right
> way to run the regression in your example is
>
> xtivreg pstrmon price mat age coup pstrmonprev pstrprev intr 
> ivol compl (precmon = precmonprev)
>
> Cheers,
> Mark
>
>   
> > Any help would be very much appreciated, not much hair left,
> >
> > Kind regards,
> > Marck Bulter
> >
> >
> >
> >
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> >
> >     
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>   
Dear Mark,

Thank you for your reply. I have corrected the specification and the 
regression seem to be more reliable/stable. ( I think I mixed it up with 
Eviews, where you have to declear all instruments). Sometimes variables 
still disappear, but less often than it used to be. I think there is 
still some higher degree of (multi)collinearity between variables.

Thanks again,

regards,
Marck




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