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st: AW: RE: Xtivreg2 with RE?


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: RE: Xtivreg2 with RE?
Date   Mon, 6 Apr 2009 18:12:14 +0200

<> 



Would it be a worthy task to take the parts that do the RE in -xtoverid- and
insert them into -xtivreg2-? The issue with the temporary vars is
nerve-racking when you have more than a few interaction effects...



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Schaffer, Mark
E
Gesendet: Montag, 6. April 2009 18:02
An: statalist@hsphsun2.harvard.edu
Betreff: st: RE: Xtivreg2 with RE?

Carlo,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> C.Menon@lse.ac.uk
> Sent: Monday, April 06, 2009 3:44 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Xtivreg2 with RE?
> 
> Dear statalist users,
> I would need a command to estimate IV panel with robust s.e. 
> and random
> effects, i.e., an xtivreg2 allowing the RE option. Does 
> anybody know of
> something available?

I have a version of -xtivreg2- that does RE and other things, but it
isn't distributable yet.

There may be an easy alternative for you, though, namely -xtoverid-.

-xtoverid- (available from ssc-ideas in the usual way) reestimates an
-xtivreg- or -xtivreg2- regression in order to calculate the
Sargan-Hansen J statistic.  It accepts -robust- and -cluster-, and
internally it will reestimate the equation using these options.

-xtoverid- has an undocumented option -noi- that displays the internal
re-estimation results.  This means you can see the estimation results
with robust or cluster-robust SEs.

It's not ideal because what you'll see is Stata temporary variable names
for the coefficients instead of the variables you've used.  But you can
tell which is which by matching the coefficients to the output from
using -xtivreg- with non-robust SEs.

After your -xtivreg- estimation, just do

xtoverid, noi robust

(or cluster-robust if that's what you want).

Hope this helps.

Cheers,
Mark


> Thanks
> Carlo
> 
> 
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