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st: RE: RE: xtoverid error: internal reestimation of eqn differs from original
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From |
"Schaffer, Mark E" <[email protected]> |
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To |
<[email protected]> |
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Subject |
st: RE: RE: xtoverid error: internal reestimation of eqn differs from original |
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Date |
Fri, 11 Jul 2008 09:46:22 +0100 |
Hewan,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] 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);
>
>
>
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
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registered under charity number SC000278.
*
* For searches and help try:
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