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


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: xtoverid error: internal reestimation of eqn differs from original
Date   Fri, 11 Jul 2008 09:46:22 +0100

Hewan,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Hewan Belay
> Sent: Friday, July 11, 2008 2:39 AM
> To: Stata List
> Subject: st: RE: xtoverid error: internal reestimation of eqn 
> differs from original
> 
> 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.

A "balanced panel" is one where the number of observations per group is
the same.  You have an "unbalanced panel": some groups have as few as 7
observations, others have as many as 9.  My suggestion was to reestimate
on a balanced panel to see if the problem goes away.  Since almost all
your groups have 9 observations, probably you just drop all the groups
with fewer than 9 and see what happens.

Cheers,
Mark

Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University
Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3296 fax
http://www.sml.hw.ac.uk/cert
 

> 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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> 


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