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st: Is there a kind of stochasticity in the execution of xthtaylor?


From   Hewan Belay <hewan_belay@yahoo.com>
To   Stata List <statalist@hsphsun2.harvard.edu>
Subject   st: Is there a kind of stochasticity in the execution of xthtaylor?
Date   Tue, 15 Jul 2008 18:50:37 -0700 (PDT)

Dear Listers,

I am facing continued challenges with Stata's Hausman-Taylor estimation command. Is it possible to get different coefficient values when running a rather basic one-line xthtaylor command twice??

This is what I am experiencing. More specifically, when I run the same one-line xthtaylor command repeatedly a couple times after each other (with no other command interspersed between these repeats), there are two (and only two, not 3 or more) different sets of commands that show up in any given run. E.g. when I run the command 6 times. Two times it may be result set A, and 4 times result set B. Another 6 runs and I may get 3 times set A and 3 times set B. etc. The order and frequency with which stata presents these two different results for a given number of repeat runs seems pretty arbitrary. One of these two result sets appears to be degenerate (intercept is zero, chi-square is through the roof). 

What is going on? What is causing what appears to be some kind of binary stochasticity in generating the regression output for xthtaylor? This doesn't happen with all of my xthtaylor commands. It appears to happen in the specifications in which I have year dummies. I can understand that certain specifications may create degenerate outputs, or even error messages, but I don't understand why one would get different outputs on different runs of the identically same xthtaylor command. The variables in the model are fixed and are not generated through any random process, so that's not what's going on. In any case, I get different results in rerunning the same command twice (or multiple times) without running any other command in between these repeats.

To make it more concrete, here are the two different results I get (notice that between the two sets, the only coefficients that change values are the time dummies and the constant):

.. xthtaylor rev_IGF popurb_share popdens pop p0 rain_av road_no literate rel_christ *akan *ewe L.(rev_EXT exp_pers_act exp_NPR exp_cap_act) yr95-yr04, endog( L.rev_EXT) varying(L.(rev_EXT exp_pers_act exp_NPR exp_cap_act) yr95-yr04)

Hausman-Taylor estimation                       Number of obs      =      1028
Group variable: code                            Number of groups   =       110

                                                Obs per group: min =         6
                                                               avg =       9.3
                                                               max =        10

Random effects u_i ~ i.i.d.                     Wald chi2(24)      =  85788.98
                                                Prob > chi2        =    0.0000

---------------------------------------------------------------------------
     rev_IGF |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+-------------------------------------------------------------
TVexogenous  |
exp_pers_act |
         L1. |   .0458131   .0290744     1.58   0.115    -.0111717    .1027979
     exp_NPR |
         L1. |    .455071   .0324329    14.03   0.000     .3915037    .5186382
 exp_cap_act |
         L1. |   .0251445   .0149172     1.69   0.092    -.0040928    .0543817
        yr95 |   4.727803   .4757539     9.94   0.000     3.795342    5.660263
        yr96 |   4.847803   .4815382    10.07   0.000     3.904006    5.791601
        yr97 |   4.702486   .4848417     9.70   0.000     3.752214    5.652758
        yr98 |   4.774614   .4842344     9.86   0.000     3.825532    5.723696
        yr99 |   4.717167   .4894038     9.64   0.000     3.757953    5.676381
        yr00 |   4.710529   .4904061     9.61   0.000      3.74935    5.671707
        yr01 |   4.732772   .4912148     9.63   0.000     3.770008    5.695535
        yr02 |   5.031636   .4890057    10.29   0.000     4.073203     5.99007
        yr03 |   4.932353   .4966293     9.93   0.000     3.958977    5.905728
        yr04 |   5.003962   .5006898     9.99   0.000     4.022628    5.985296
TVendogenous |
     rev_EXT |
         L1. |  -.0333631   .0123719    -2.70   0.007    -.0576115   -.0091146
TIexogenous  |
popurb_share |   .0010771    .001679     0.64   0.521    -.0022136    .0043679
     popdens |  -.0001782   .0001626    -1.10   0.273    -.0004969    .0001405
         pop |   .0003678   .0003443     1.07   0.285     -.000307    .0010426
          p0 |  -1.336879   .3018935    -4.43   0.000    -1.928579   -.7451785
     rain_av |   -.000174   .0001693    -1.03   0.304    -.0005058    .0001578
     road_no |  -.2678196   .1942266    -1.38   0.168    -.6484967    .1128574
    literate |   .0035209   .0047665     0.74   0.460    -.0058213    .0128632
  rel_christ |   .0012864   .0029608     0.43   0.664    -.0045167    .0070894
   ethn_akan |  -.0025563   .0014801    -1.73   0.084    -.0054572    .0003446
    ethn_ewe |  -.0024125   .0017515    -1.38   0.168    -.0058455    .0010204
             |
       _cons |          0          0        .       .            0           0
-------------+-------------------------------------------------------------
     sigma_u |  .24884157
     sigma_e |  .35746651
         rho |  .32641371   (fraction of variance due to u_i)
---------------------------------------------------------------------------
Note:  TV refers to time varying; TI refers to time invariant.

.. 
end of do-file

.. xthtaylor rev_IGF popurb_share popdens pop p0 rain_av road_no literate rel_christ *akan *ewe L.(rev_EXT exp_pers_act exp_NPR exp_cap_act) yr95-yr04, endog( L.rev_EXT) varying(L.(rev_EXT exp_pers_act exp_NPR exp_cap_act) yr95-yr04)

Hausman-Taylor estimation                       Number of obs      =      1028
Group variable: code                            Number of groups   =       110

                                                Obs per group: min =         6
                                                               avg =       9.3
                                                               max =        10

Random effects u_i ~ i.i.d.                     Wald chi2(23)      =    728.95
                                                Prob > chi2        =    0.0000

---------------------------------------------------------------------------
     rev_IGF |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+-------------------------------------------------------------
TVexogenous  |
exp_pers_act |
         L1. |   .0458131   .0290744     1.58   0.115    -.0111717    .1027979
     exp_NPR |
         L1. |    .455071   .0324329    14.03   0.000     .3915037    .5186382
 exp_cap_act |
         L1. |   .0251445   .0149172     1.69   0.092    -.0040928    .0543817
        yr95 |  -.2761593   .0720174    -3.83   0.000    -.4173107   -.1350078
        yr96 |  -.1561589   .0617779    -2.53   0.011    -.2772413   -.0350765
        yr97 |  -.3014758   .0579642    -5.20   0.000    -.4150835   -.1878681
        yr98 |  -.2293477   .0558028    -4.11   0.000    -.3387192   -.1199761
        yr99 |  -.2867948   .0544548    -5.27   0.000    -.3935242   -.1800653
        yr00 |  -.2934332   .0534874    -5.49   0.000    -.3982667   -.1885998
        yr01 |  -.2711902   .0514675    -5.27   0.000    -.3720647   -.1703157
        yr02 |   .0276744   .0543115     0.51   0.610    -.0787742     .134123
        yr03 |  -.0716094   .0503505    -1.42   0.155    -.1702947    .0270758
        yr04 |          0          0        .       .            0           0
TVendogenous |
     rev_EXT |
         L1. |  -.0333631   .0123719    -2.70   0.007    -.0576115   -.0091146
TIexogenous  |
popurb_share |   .0010771    .001679     0.64   0.521    -.0022136    .0043679
     popdens |  -.0001782   .0001626    -1.10   0.273    -.0004969    .0001405
         pop |   .0003678   .0003443     1.07   0.285     -.000307    .0010426
          p0 |  -1.336879   .3018935    -4.43   0.000    -1.928579   -.7451785
     rain_av |   -.000174   .0001693    -1.03   0.304    -.0005058    .0001578
     road_no |  -.2678196   .1942266    -1.38   0.168    -.6484967    .1128574
    literate |   .0035209   .0047665     0.74   0.460    -.0058213    .0128632
  rel_christ |   .0012864   .0029608     0.43   0.664    -.0045167    .0070894
   ethn_akan |  -.0025563   .0014801    -1.73   0.084    -.0054572    .0003446
    ethn_ewe |  -.0024125   .0017515    -1.38   0.168    -.0058455    .0010204
             |
       _cons |   5.003962   .5006898     9.99   0.000     4.022628    5.985296
-------------+-------------------------------------------------------------
     sigma_u |  .24884157
     sigma_e |  .35746651
         rho |  .32641371   (fraction of variance due to u_i)
---------------------------------------------------------------------------
Note:  TV refers to time varying; TI refers to time invariant.

.. 
end of do-file

..


      

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