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st: error message with xtivreg2


From   iskotida@aueb.gr
To   statalist@hsphsun2.harvard.edu
Subject   st: error message with xtivreg2
Date   Sat, 15 Mar 2008 13:13:25 +0200

I am working on a paper in which I need to compute the Shea's partial R2 for the estimation of a random effects panel data model
with instrumetnal variables using xtivreg and xtivreg2.
When browsing through STATALIST archives, I found a responce to someone
who sought assistance on this issue (see below).
I tried this suggestion myself, but I get the following error message:
"Unable to display summary of first-stage estimates; macro e(first) is missing"
I thought I should write and ask your advice on this error message,
if there is an updated version of xtivreg2 that works also for random
effects models, or if you have another suggestion?
Thanks for reading my mail.
Regards
Ifigeneia Skotida



st: RE: FW: Getting F stats for xtivreg
----------------------------------------------------------------------------
From "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To <statalist@hsphsun2.harvard.edu>
Subject st: RE: FW: Getting F stats for xtivreg
Date Tue, 21 Nov 2006 22:12:06 -0000

----------------------------------------------------------------------------
Josh,

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Freely, Joshua
Sent: 21 November 2006 21:55
To: statalist@hsphsun2.harvard.edu
Subject: st: FW: Getting F stats for xtivreg
Hello StataList,
I am running an xtivreg, re and I am trying to measure the validity of my instruments. Does anyone know of a way for me to obtain an F-statistic for my first stage equation? I know xtivreg2 does it for FE but not RE models. Anyone have any ideas for me?
I'm working on a new version of xtivreg2 that will do random effects models and other things as well, but in the meantime there's an alternative, namely the new command -xtoverid- (available from ssc-ideas in the usual way).
The way -xtoverid- works internally is by reestimating, via a call to -ivreg2-, whatever -xtivreg- or -xthausman- equation was just estimated.
The -xtoverid- command has an undocumented -noisily- (or just -noi-) option. This tells -xtoverid- to display the internal -ivreg2- reestimation results. For the purposes of the -noi- option, the call to -ivreg2- includes the -ffirst- option, so you will see the usual array of first-stage/weak/underidentification stats (but not the first stage regressions themselves).
There is a small problem, which is that the internal reestimation uses temporary variable names. Thus the first-stage stats will be for variables with names like __00000P. These map 1-for-1 to the original variables, however, and there's a good chance you should be able to work out what they are.
So... after your -xtivreg- estimation,
xtoverid, noi
should tell you what you want to know.
Hope this helps.
Cheers,
Mark
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