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 [email protected]
To [email protected], "Schaffer, Mark E" <[email protected]>
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" <[email protected]>:
> Maria,
>
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On Behalf Of
> > [email protected]
> > Sent: Tuesday, July 31, 2007 1:33 PM
> > To: [email protected]
> > 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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