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


From   Partha Deb <partha.deb@hunter.cuny.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Is there a kind of stochasticity in the execution of xthtaylor?
Date   Wed, 16 Jul 2008 16:56:30 -0400

My quick peek into the ado file for xthtaylor shows that it does check for collinearity. Is it possible that yours is not perfect (but near perfect)?

Partha


Hewan Belay wrote:

Dear Partha,

Yes, it clearly has something to do with the presence of collinearity. But it is strange that Stata (at least for xthtaylor) stochastically chooses which collinear variable to drop (and doesn't "silently" drop it as in other cases of perfect collinearity, but in my demonstration regressions "sets" one of the collinear variables' coefficients to zero, and on another run does same but with another of the collinear variable's coefficient). Wonder if this is due to some mild bug in the xthtaylor programme... In any case, dropping one of the collinear time dummies myself, prior to running the command, takes care of the proximate problem (though leaves above question open).

Thanks much,
Hewan

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From Partha Deb <partha.deb@hunter.cuny.edu> To statalist@hsphsun2.harvard.edu Subject Re: st: Is there a kind of stochasticity in the execution of xthtaylor? Date Tue, 15 Jul 2008 22:19:41 -0400
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You have a collinearity problem. In the first instance, the constant is "dropped" while in the second, yr04 is "dropped". I would have expected Stata to have dropped one variable before proceeding to estimation as it typically does, but it apparently does not here. Remove one year dummy should solve your problem.

HTH.

Partha




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Partha Deb
Department of Economics
Hunter College
ph:  (212) 772-5435
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