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st: RE: xtoverid error: internal reestimation of eqn differs from original


From   Hewan Belay <hewan_belay@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: RE: xtoverid error: internal reestimation of eqn differs from original
Date   Tue, 8 Jul 2008 20:46:08 -0700 (PDT)

Dear List,

This question came up only once before in the list, and I didn't fully discern what may be the way forward from reading the exchange. Essentially, I am facing the same problem (and receive the same error message Maria faced, see further below), when running -xtoverid- after running a Hausman-Taylor regression using -xthtaylor-. I followed Mark's advice to Maria and did -xtoverid, noisily-, and the output suggested collinearity as well. Apparently, I don't have very strong collinearity, else one or more variables would have dropped out in the estimation, but none did. Is the over-identification test particularly sensitive to some collinearity? Any suggestions on handling this, and what to do to still be able to use this test statistic?

Below are the details: output from the -xthtaylor- estimation, followed by output from the -xtoverid, noisily- test.

Best,
Hewan

.. xthtaylor rev_IGF_3avg popurb_share popdens pop p0 rain_av road_no literate rel_christ *akan *ewe L.(rev_IGF_ 3avg rev_EXT exp_pers_act exp_NPR exp_cap_act) dumreg1-dumreg7 dumreg9-dumreg10, endog(L.(rev_EXT rev_IGF_3avg)) varying(L.(rev_IGF_3avg rev_EXT exp_pers_act exp_NPR exp_cap_act))        

Hausman-Taylor estimation                       Number of obs      =   699
Group variable: code                            Number of groups   =   106

                                                Obs per group: min=5
                                                               avg=6.6
                                                               max=7

Random effects u_i ~ i.i.d.                     Wald chi2(24)      =5417.96
                                                Prob > chi2        =0.0000

---------------------------------------------------------------------------rev_IGF_3avg |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+-------------------------------------------------------------TVexogenous  |
exp_pers_act |
         L1. |   .0788914   .0169636     4.65   0.000     .0456433    .1121394
     exp_NPR |
         L1. |   .1992826   .0252538     7.89   0.000     .1497861     .248779
 exp_cap_act |
         L1. |  -.0038548   .0113339    -0.34   0.734    -.0260688    .0183592
TVendogenous |
     rev_EXT |
         L1. |   .0068097   .0148884     0.46   0.647    -.0223711    .0359905
rev_IGF_3avg |
         L1. |   .6608472   .0284122    23.26   0.000     .6051602    .7165341
TIexogenous  |
popurb_share |   .0011771    .000573     2.05   0.040     .0000541    .0023002
     popdens |  -.0001731   .0000585    -2.96   0.003    -.0002877   -.0000584
         pop |   .0001918   .0001302     1.47   0.141    -.0000633    .0004469
          p0 |  -.3915243   .1268809    -3.09   0.002    -.6402062   -.1428423
     rain_av |   .0000586   .0000765     0.77   0.444    -.0000913    .0002086
     road_no |  -.0120262   .0741182    -0.16   0.871    -.1572952    .1332429
    literate |   .0035863   .0017501     2.05   0.040     .0001562    .0070164
  rel_christ |  -.0016295   .0012886    -1.26   0.206    -.0041552    .0008962
   ethn_akan |  -.0008522   .0006921    -1.23   0.218    -.0022086    .0005043
    ethn_ewe |   .0004666   .0008781     0.53   0.595    -.0012544    .0021877
     dumreg1 |   .0913287   .0850729     1.07   0.283    -.0754111    .2580684
     dumreg2 |  -.0432531   .0780054    -0.55   0.579    -.1961408    .1096345
     dumreg3 |   .0388221   .0882678     0.44   0.660    -.1341796    .2118237
     dumreg4 |  -.0929884   .0735551    -1.26   0.206    -.2371536    .0511769
     dumreg5 |  -.0559623   .0740561    -0.76   0.450    -.2011097    .0891851
     dumreg6 |   .0299387   .0740921     0.40   0.686    -.1152792    .1751566
     dumreg7 |   -.044829   .0717926    -0.62   0.532    -.1855399    .0958819
     dumreg9 |   .1245367    .059701     2.09   0.037     .0075249    .2415485
    dumreg10 |   .1489092    .062665     2.38   0.017     .0260881    .2717303
             |
       _cons |   .5605179   .2319658     2.42   0.016     .1058733    1.015162
-------------+----------------------------------------------------------------
     sigma_u |  .01675734
     sigma_e |  .21148494
         rho |  .00623926   (fraction of variance due to u_i)
------------------------------------------------------------------------------
Note:  TV refers to time varying; TI refers to time invariant.

.. 
end of do-file

.. do "D:\TEMP\STD04000000.tmp"

.. xtoverid, noisily
Warning - endogenous variable(s) collinear with instruments
Vars now exogenous: __00001B

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 =      699
                                                      F( 25,   674) = 34571.80
                                                      Prob > F      =   0.0000
Total (centered) SS     =  292.3090099                Centered R2   =   0.8935
Total (uncentered) SS   =  39947.58709                Uncentered R2 =   0.9992
Residual SS             =  31.11655393                Root MSE      =    .2149

------------------------------------------------------------------------------
    __00000K |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
    __00000O |   .0788883   .0169636     4.65   0.000     .0455804    .1121962
    __00000R |   .1992816   .0252538     7.89   0.000      .149696    .2488672
    __00000U |  -.0038579   .0113339    -0.34   0.734    -.0261119     .018396
    __00000X |    .006814   .0148884     0.46   0.647    -.0224193    .0360473
    __000010 |    .660834   .0284121    23.26   0.000     .6050471    .7166208
    __000011 |   .0011771    .000573     2.05   0.040      .000052    .0023022
    __000012 |   -.000173   .0000585    -2.96   0.003    -.0002879   -.0000582
    __000013 |   .0001918   .0001302     1.47   0.141    -.0000638    .0004474
    __000014 |  -.3915953   .1268798    -3.09   0.002    -.6407224   -.1424682
    __000015 |   .0000586   .0000765     0.77   0.444    -.0000916    .0002088
    __000016 |  -.0120329   .0741184    -0.16   0.871    -.1575636    .1334978
    __000017 |   .0035862   .0017501     2.05   0.041     .0001499    .0070224
    __000018 |  -.0016296   .0012886    -1.26   0.206    -.0041598    .0009007
    __000019 |  -.0008521   .0006921    -1.23   0.219     -.002211    .0005068
    __00001A |   .0004667   .0008781     0.53   0.595    -.0012575    .0021908
    __00001C |  -.0432515   .0780055    -0.55   0.579    -.1964146    .1099115
    __00001D |   .0388301   .0882679     0.44   0.660    -.1344831    .2121432
    __00001E |  -.0929823   .0735552    -1.26   0.207    -.2374072    .0514425
    __00001F |  -.0559592   .0740563    -0.76   0.450     -.201368    .0894496
    __00001G |   .0299386   .0740923     0.40   0.686    -.1155409     .175418
    __00001H |  -.0448234   .0717927    -0.62   0.533    -.1857877    .0961409
    __00001I |   .1245521    .059701     2.09   0.037     .0073298    .2417743
    __00001J |   .1489231    .062665     2.38   0.018      .025881    .2719652
    __00000J |   .5606981   .2319614     2.42   0.016     .1052442    1.016152
    __00001B |   .0913319    .085073     1.07   0.283    -.0757081    .2583719
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments):           9.249
                                                   Chi-sq(4) P-val =    0.0552
------------------------------------------------------------------------------
Instrumented:         __00000O __00000R __00000U __00000X __000010 __000011
                      __000012 __000013 __000014 __000015 __000016 __000017
                      __000018 __000019 __00001A __00001B __00001C __00001D
                      __00001E __00001F __00001G __00001H __00001I __00001J
Included instruments: __00000J
Excluded instruments: __00000N __00000Q __00000T __00000W __00000Z __00000M
                      __00000P __00000S popurb_share popdens pop p0 rain_av
                      road_no literate rel_christ ethn_akan ethn_ewe dumreg1
                      dumreg2 dumreg3 dumreg4 dumreg5 dumreg6 dumreg7 dumreg9
                      dumreg10
Reclassified as exog: __00001B
------------------------------------------------------------------------------
xtoverid error: internal reestimation of eqn differs from original
r(198);

end of do-file



Best,
Hewan

---------------------------------------------------------------------------From   agostino@unical.it 
To   statalist@hsphsun2.harvard.edu, "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> 
Subject   Re: st: RE: xtoverid error: internal reestimation of eqn differs from original 
Date   Wed, 1 Aug 2007 14:19:31 +0200 

--------------------------------------------------------------------------------

Thank you Mark, 
you were wright: there is a problem of multicollinearity...
Cheers
Maria
Citazione "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>:

> Maria,
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> > agostino@unical.it
> > Sent: Tuesday, July 31, 2007 1:33 PM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: xtoverid error: internal reestimation of eqn 
> > differs from original
> > 
> > dear Stata users,
> > I am using the Hausman and Taylor (1981) Stata command as follows:
> > 
> > xi:xthtaylor dep_var x1 x2 x3 x4 x5 i.country*y2001 i.country*y2002
> > i.country*y2003 i.country*y2004 i.country*y2005 
> > i.country*y2006, endog(x1 x2
> > x3 x4 )
> >  
> > when, after the regression, I run the "xtoverid" command I 
> > get the following error message:
> > 
> > xtoverid error: internal reestimation of eqn differs from original
> > 
> > I would really appreciate your help in understanding the 
> > reason of that!
> 
> Try using the (undocumented) -noisily- option of -xtoverid-, i.e.,
> 
> xtoverid, noi
> 
> This will show all the internal regressions that -xtoverid- does to
> reproduce the Hausman-Taylor estimator.  My guess is that you have
> collinearity problems that -xthtaylor- isn't reporting.  These will show
> up with the -noi- option.  The variable names will be temporary names so
> it won't be easy to work out exactly what is going on, but it may be
> enough.
> 
> Cheers,
> Mark
> 
> > 
> > Thanks
> > Maria


      

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