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Re: st: RE: Endowmentsc Panel Estimation


From   john.barnshaw@gmail.com
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Endowmentsc Panel Estimation
Date   Thu, 13 Dec 2007 20:25:58 +0000

P
Sent from my Verizon Wireless BlackBerry

-----Original Message-----
From: Thomas Mayock <tjm04e@fsu.edu>

Date: Thu, 13 Dec 2007 07:35:53 
To:statalist@hsphsun2.harvard.edu
Subject: Re: st: RE: Endogenous Panel Estimation


Mark,
    Many thanks for your help.  I have been able to run the overid test with the RE model, but I keep getting an error for the first stage estimates that reads "Unable to display summary of first-stage estimates; macro e(first) is missing."  Following the commands "xtivreg (insert specification), re" , I included the line "xtoverid, noid".  I believe you suggested this in another post I came across on the list.  It almost looks as if this could be a problem in the call to ivreg2.  Have you come across this before?
Cheers
Tom

----- Original Message -----
From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
Date: Wednesday, December 12, 2007 6:17 pm
Subject: st: RE: Endogenous Panel Estimation
To: statalist@hsphsun2.harvard.edu

> Tom,
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> > Thomas Mayock
> > Sent: 12 December 2007 22:43
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: Endogenous Panel Estimation
> > 
> > Hello to all,
> >     I am somewhat new to Stata, so please forgive my 
> > ignorance should the answer to my question be painfully 
> > obvious to the more experienced. 
> >      I am estimating a random effects panel model, and I 
> > believe that some of the time-invariant regressors are 
> > endogenous.  I have experimented with xtivreg and xtivreg2, 
> > but I have not figured out a (simple) way to test for 
> > overidentifying restrictions or perform the standard 
> > first-stage joint significance test.  I know these are 
> > options for the fixed effects model.  Is there another 
> > routine out there that may allow for these tests?
> 
> -xtoverid-, available from SSC (as soon as it's back up again!), 
> will do
> an overid test after xtivreg with random effects.
> 
> Cheers,
> 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
> 
> 
> > I have 
> > searched around the internet a bit, but I have yet to come 
> > across anything.  I just wanted to try the board about before 
> > cranking this out in Matlab.
> >      Thanks in advance for any help.
> > Best,
> > Tom
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