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st: re: error message with xtivreg2


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: error message with xtivreg2
Date   Sat, 15 Mar 2008 07:27:18 -0400

Ifigenia wonders about:


. xtivreg invest (mvalue = kstock year),re

G2SLS random-effects IV regression Number of obs = 200
Group variable: company Number of groups = 10

R-sq: within = 0.3707 Obs per group: min = 20
between = 0.8572 avg = 20.0
overall = 0.7343 max = 20

Wald chi2(1) = 80.40
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

------------------------------------------------------------------------ ------
invest | Coef. Std. Err. z P>|z| [95% Conf. Interval]
------------- +----------------------------------------------------------------
mvalue | .3270743 .0364773 8.97 0.000 . 2555801 .3985686
_cons | -207.8319 45.17103 -4.60 0.000 -296.3655 -119.2983
------------- +----------------------------------------------------------------
sigma_u | 67.899792
sigma_e | 188.20021
rho | .11517403 (fraction of variance due to u_i)
------------------------------------------------------------------------ ------
Instrumented: mvalue
Instruments: kstock year
------------------------------------------------------------------------ ------

. xtoverid,noi

Unable to display summary of first-stage estimates; macro e(first) is missing

IV (2SLS) estimation
--------------------

Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only

Number of obs = 200
F( 2, 198) = 62.23
Prob > F = 0.0000
Total (centered) SS = 4219087.206 Centered R2 = -0.2596
Total (uncentered) SS = 5401543.484 Uncentered R2 = 0.0161
Residual SS = 5314491.289 Root MSE = 163

------------------------------------------------------------------------ ------
__00000G | Coef. Std. Err. z P>|z| [95% Conf. Interval]
------------- +----------------------------------------------------------------
__00000I | .3270743 .0362945 9.01 0.000 . 2559385 .3982102
__00000E | -207.8319 44.94461 -4.62 0.000 -295.9217 -119.7421
------------------------------------------------------------------------ ------
Sargan statistic (overidentification test of all instruments): 3.208
Chi-sq(1) P-val = 0.0733
------------------------------------------------------------------------ ------
Instrumented: __00000I
Included instruments: __00000E
Excluded instruments: __00000L __00000O
------------------------------------------------------------------------ ------

Test of overidentifying restrictions:
Cross-section time-series model: xtivreg g2sls
Sargan-Hansen statistic 3.208 Chi-sq(1) P-value = 0.0733


Ignore the error message. As Mark's message indicates you cannot see the first stage regression estimates (which would be in e(first)) but you are provided with the overidentification test at the foot of the output.

At this point xtivreg2 only estimates fe and fd models. It does not estimate random effects models.

Kit


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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