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


From   Hewan Belay <hewan_belay@yahoo.com>
To   Stata List <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtoverid error: internal reestimation of eqn differs from original
Date   Thu, 10 Jul 2008 18:39:00 -0700 (PDT)

Dear Mark,

Thanks for the detailed thoughts on what is going on in xthtaylor and xtoverid. This allowed me to peer a bit more deeply into these commands' inner workings. In my case, I am not sure though if unbalancedness is the sole problem here. First of all, I'm not sure what you meant with unbalanced. To be on the safe side, I interpreted that strictly and made sure that, among all variables in my regression, there is NO variable such that, for a given observation (in my case, for a given district), values for all years are missing; and similarly, there is NO variable such that, for a given year, values for all districts are missing. [In fact, in investigating that, there was a nice side-effect that I discovered a small glitch in my data; thanks!]. 

As you'll see from the output below, we still get the error, but there is this time more information, albeit very strange information: a) -xtoverid- now drops a whole host of variables, b) treats many (12 to be exact) more variables as exogenous, than I declared endogenous in the first place (just 2)!! I also realised (not shown in output below) that -xtoverid- is well behaved and runs well if I drop all the regional dummies (called dumreg...) from the Hausman Taylor regression. In order to find closure, I may run the model without the dummies, though this is somewhat unattractive from the perspective of specification, and it is also disconcerting to have to rely on xtoverid to identify the presence of too-strong-collinearity, since that's not the type of info that -xtoverid- is mainly designed to offer...

Here is the output on the balanced panel (and commands making the panel balanced):


..  use "$f/fin & nonfin panel.dta", clear

.. 
..  use "$f/fin & nonfin panel.dta", clear

.. 
.. * Since the direct use of lags may make analysing -xtoverid, noi- difficult, rename the variables to 
> be lagged, before bringing them into the model:    
.. 
.. for any rev_IGF_2avg rev_EXT exp_pers_act exp_NPR exp_cap_act: g L_X=L.X        

->  g L_rev_IGF_2avg=L.rev_IGF_2avg
(330 missing values generated)

->  g L_rev_EXT=L.rev_EXT
(220 missing values generated)

->  g L_exp_pers_act=L.exp_pers_act
(231 missing values generated)

->  g L_exp_NPR=L.exp_NPR
(231 missing values generated)

->  g L_exp_cap_act=L.exp_cap_act
(232 missing values generated)

.. 
.. * Next, drop the years that could be causing panel imbalance: Drop the first year (1994) because the 
> dependent variable is a variable that's averaged over two periods, i.e. Y_t = mean(Z_t Z_t-1);
.. * ... drop 1995, since the LDV becomes missing for this year; 
.. * ... and drop the last two years, 2005 and 2006 for which several variables don't have data.
.. 
.. drop if year==1994 | year==1995 | year==2005 | year==2006 
(440 observations deleted)

.. 
.. * Now run the main regression:
.. 
.. xthtaylor rev_IGF_2avg popurb_share popdens pop p0 rain_av road_no literate rel_christ *akan *ewe L_r
> ev_IGF_2avg L_rev_EXT L_exp_pers_act L_exp_NPR L_exp_cap_act dumreg1-dumreg7 dumreg9-dumreg10, endog(
> L_rev_EXT L_rev_IGF_2avg) varying(L_rev_IGF_2avg L_rev_EXT L_exp_pers_act L_exp_NPR L_exp_cap_act)   
>  

Hausman-Taylor estimation                       Number of obs      =       978
Group variable: code                            Number of groups   =       110

                                                Obs per group: min =         7
                                                               avg =       8.9
                                                               max =         9

Random effects u_i ~ i.i.d.                     Wald chi2(24)      =   1868.46
                                                Prob > chi2        =    0.0000

------------------------------------------------------------------------------
rev_IGF_2avg |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
TVexogenous  |
L_exp_pers~t |  -.0125667   .0249512    -0.50   0.615    -.0614703    .0363368
   L_exp_NPR |   .2358651   .0326824     7.22   0.000     .1718088    .2999214
L_exp_cap_~t |  -.0328466   .0170683    -1.92   0.054    -.0662999    .0006066
TVendogenous |
   L_rev_EXT |  -.0071075   .0141421    -0.50   0.615    -.0348255    .0206105
L_rev_IGF_~g |   .4204889   .0358268    11.74   0.000     .3502697    .4907082
TIexogenous  |
popurb_share |   .0021465   .0010059     2.13   0.033      .000175    .0041181
     popdens |  -.0001024   .0000955    -1.07   0.283    -.0002895    .0000847
         pop |  -.0004385   .0002147    -2.04   0.041    -.0008593   -.0000178
          p0 |  -.7584724   .2114781    -3.59   0.000    -1.172962   -.3439829
     rain_av |   .0000893   .0001371     0.65   0.515    -.0001794    .0003579
     road_no |  -.0770933    .125977    -0.61   0.541    -.3240036     .169817
    literate |    .005749   .0029767     1.93   0.053    -.0000853    .0115833
  rel_christ |  -.0029042   .0021226    -1.37   0.171    -.0070644    .0012559
   ethn_akan |  -.0006008   .0012249    -0.49   0.624    -.0030015    .0017999
    ethn_ewe |   .0012169   .0015824     0.77   0.442    -.0018845    .0043183
     dumreg1 |   .2399481   .1435465     1.67   0.095    -.0413979     .521294
     dumreg2 |   .0407062   .1309883     0.31   0.756    -.2160262    .2974385
     dumreg3 |   .3356461   .1527193     2.20   0.028     .0363219    .6349704
     dumreg4 |  -.0132408   .1290034    -0.10   0.918    -.2660829    .2396012
     dumreg5 |   .0240335   .1252261     0.19   0.848    -.2214051    .2694721
     dumreg6 |   .1773062    .124622     1.42   0.155    -.0669484    .4215607
     dumreg7 |   .1753394   .1195659     1.47   0.143    -.0590055    .4096843
     dumreg9 |   .4189782   .0923807     4.54   0.000     .2379154    .6000411
    dumreg10 |   .4799591   .1026885     4.67   0.000     .2786934    .6812248
             |
       _cons |    3.24853   .3265345     9.95   0.000     2.608534    3.888526
-------------+----------------------------------------------------------------
     sigma_u |  .00654479
     sigma_e |  .45401058
         rho |  .00020776   (fraction of variance due to u_i)
------------------------------------------------------------------------------
Note:  TV refers to time varying; TI refers to time invariant.

.. 
.. * But when doing the post-estimation test, it still gives the error message, and provides stranger in
> formation than even before:
.. 
.. xtoverid, noi
Warning - endogenous variable(s) collinear with instruments
Vars now exogenous: __00000X __000011 __000014 __000015 __000016 __000017
                    __000018 __000019 __00001A __00001B __00001C __00001D
Warning - collinearities detected
Vars dropped:       road_no ethn_akan ethn_ewe dumreg1 dumreg2 dumreg4 dumreg5
                    dumreg6 dumreg7 dumreg9

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 =      978
                                                      F( 25,   953) = 11017.57
                                                      Prob > F      =   0.0000
Total (centered) SS     =  612.7773989                Centered R2   =   0.6767
Total (uncentered) SS   =  57474.83461                Uncentered R2 =   0.9966
Residual SS             =   198.082309                Root MSE      =    .4559

------------------------------------------------------------------------------
    __00000F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
    __00000J |  -.0125026   .0249504    -0.50   0.616    -.0614667    .0364614
    __00000M |   .2361092   .0326823     7.22   0.000     .1719715    .3002468
    __00000P |  -.0327462   .0170671    -1.92   0.055    -.0662397    .0007473
    __00000S |  -.0074428   .0141302    -0.53   0.599    -.0351727    .0202871
    __00000V |   .4201414   .0357976    11.74   0.000     .3498902    .4903926
    __00000W |   .0021458   .0010059     2.13   0.033     .0001717    .0041199
    __00000Y |  -.0004393   .0002147    -2.05   0.041    -.0008605    -.000018
    __00000Z |  -.7585726   .2114717    -3.59   0.000    -1.173577   -.3435687
    __000010 |   .0000892   .0001371     0.65   0.515    -.0001798    .0003582
    __000012 |   .0057551   .0029768     1.93   0.053    -.0000868     .011597
    __000013 |  -.0029059   .0021226    -1.37   0.171    -.0070714    .0012597
    __00001E |   .4799851   .1026759     4.67   0.000     .2784882     .681482
    __00000E |   3.251012    .326437     9.96   0.000     2.610394    3.891631
    __00000X |  -.0001021   .0000955    -1.07   0.285    -.0002895    .0000852
    __000011 |  -.0770089   .1259801    -0.61   0.541    -.3242393    .1702214
    __000014 |  -.0006012   .0012249    -0.49   0.624     -.003005    .0018027
    __000015 |   .0012157   .0015824     0.77   0.443    -.0018897    .0043212
    __000016 |   .2401393   .1435471     1.67   0.095    -.0415656    .5218442
    __000017 |   .0407647     .13099     0.31   0.756    -.2162975    .2978269
    __000018 |   .3359035   .1527116     2.20   0.028     .0362137    .6355934
    __000019 |  -.0131465   .1290063    -0.10   0.919    -.2663158    .2400228
    __00001A |   .0241284   .1252282     0.19   0.847    -.2216266    .2698833
    __00001B |   .1774268   .1246225     1.42   0.155    -.0671393     .421993
    __00001C |   .1754524   .1195626     1.47   0.143    -.0591839    .4100888
    __00001D |   .4192401   .0923717     4.54   0.000     .2379647    .6005156
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments):          19.614
                                                   Chi-sq(5) P-val =    0.0015
------------------------------------------------------------------------------
Instrumented:         __00000J __00000M __00000P __00000S __00000V __00000W
                      __00000Y __00000Z __000010 __000012 __000013 __00001E
Included instruments: __00000E __00000X __000011 __000014 __000015 __000016
                      __000017 __000018 __000019 __00001A __00001B __00001C
                      __00001D
Excluded instruments: __00000I __00000L __00000O __00000R __00000U __00000H
                      __00000K __00000N popurb_share popdens pop p0 rain_av
                      literate rel_christ dumreg3 dumreg10
Dropped collinear:    road_no ethn_akan ethn_ewe dumreg1 dumreg2 dumreg4 dumreg5
                      dumreg6 dumreg7 dumreg9
Reclassified as exog: __00000X __000011 __000014 __000015 __000016 __000017
                      __000018 __000019 __00001A __00001B __00001C __00001D
------------------------------------------------------------------------------
xtoverid error: internal reestimation of eqn differs from original
r(198);



      

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