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RE: st: AW: Problem with xtivreg2


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: AW: Problem with xtivreg2
Date   Thu, 17 Dec 2009 15:17:51 -0000

Nils,

I will have a look at this and see if I can replicate it.  But have you tried the very simple fix of creating the L2 variables as new variables instead of having xtivreg2 do them?

That is, instead of

xtivreg2 `depvar' `indepvars' `exovars' (overall_coeff_var
overall_coeff_var_sq = L2.overall_coeff_var L2.overall_coeff_var_sq
L3.overall_coeff_var L3.overall_coeff_var_sq), fd cluster(idnum) first

you do

gen double L2overall_coeff_var=L2.overall_coeff_var
gen double L2overall_coeff_var_sq=L2.overall_coeff_var_sq
gen double L3overall_coeff_var=L3.overall_coeff_var
gen double L3overall_coeff_var_sq=L3.overall_coeff_var_sq

and use these in the estimation command.

Internally, to implement the FD estimator xtivreg2 using the D time-series operator, and it might not be handling the case of D combined with L properly.

Cheers,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Nils Braakmann
> Sent: Thursday, December 17, 2009 1:02 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: AW: Problem with xtivreg2
> 
> Nope. In fact,  I would like to avoid having to do this if possible.
> The code runs in a research data center, which means that all output
> has to be checked for confidentiality, and I am not sure whether they
> would allow me to use -trace- (using it obviously increases their work
> load by a lot). I'll try to recreate the error using data I have on my
> pc, but I'm not sure if this works. I basically hoped for an easy
> solution in the spirit of "Your variable name is too long", but if
> this problem turns out to be more difficult, I'll have to think of
> something else...
> 
> Best,
> Nils
> 
> On Thu, Dec 17, 2009 at 1:36 PM, Martin Weiss 
> <martin.weiss1@gmx.de> wrote:
> >
> > <>
> >
> > Have you -trace-d the error yet?
> >
> >
> >
> > HTH
> > Martin
> >
> >
> > -----Ursprüngliche Nachricht-----
> > Von: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag 
> von Nils Braakmann
> > Gesendet: Donnerstag, 17. Dezember 2009 13:27
> > An: statalist@hsphsun2.harvard.edu
> > Betreff: st: Problem with xtivreg2
> >
> > Dear all,
> >
> > I  am just revisiting an old paper (running under version 
> control for
> > version 9.2 under a version 10.2 maching in a research data center)
> > and encounter a strange problem with xtivreg2.
> >
> > In february I ran the following code:
> >
> > xtivreg2 `depvar' `indepvars' `exovars' (overall_coeff_var
> > overall_coeff_var_sq = L.overall_coeff_var L.overall_coeff_var_sq
> > L2.overall_coeff_var L2.overall_coeff_var_sq), fd gmm robust
> >
> > and got the following results:
> >
> > Warning - collinearities detected
> > Vars dropped:  D.year_d7 D.year_d6 D.year_d5
> >
> > FIRST DIFFERENCES ESTIMATION
> > ----------------------------
> > Number of groups =      1022                    Obs per group: min =
> > 1
> >                                                               avg =
> > 2.6
> >                                                               max =
> > 7
> >
> > 2-Step GMM estimation
> > ---------------------
> >
> > Statistics robust to heteroskedasticity
> >
> >                                                      Number of obs =
> > 2627
> >                                                      F( 24,  2602) =
> > 4.62
> >                                                      Prob > F      =
> > 0.0000
> > Total (centered) SS     =  113.3549125                
> Centered R2   =
> > -0.0026
> > Total (uncentered) SS   =    113.83846                
> Uncentered R2 =
> > 0.0017
> > Residual SS             =  113.6464909                Root 
> MSE      =
> > .208
> >
> > 
> --------------------------------------------------------------
> --------------
> > --
> >             |               Robust
> > D.           |
> > log_return~d |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
> > Interval]
> > 
> -------------+------------------------------------------------
> --------------
> > --
> > overall_co~q |
> >         D1. |   6.448465   5.537348     1.16   0.244    -4.404538
> > 17.30147
> > overall_co~r |
> >         D1. |  -4.672704    3.66052    -1.28   0.202    -11.84719
> > 2.501784
> >    year_d13 |
> >         D1. |   .1064509   .1903947     0.56   0.576    -.2667159
> > .4796177
> >    year_d12 |
> >         D1. |   .0660634   .1644337     0.40   0.688    -.2562208
> > .3883475
> >    year_d11 |
> >         D1. |    .085434   .1305051     0.65   0.513    -.1703513
> > .3412193
> >    year_d10 |
> >         D1. |   .0852973   .0898904     0.95   0.343    -.0908845
> > .2614792
> >     year_d9 |
> >         D1. |    .053293   .0615972     0.87   0.387    -.0674353
> > .1740213
> >     year_d8 |
> >         D1. |   .0145953   .0313659     0.47   0.642    -.0468806
> > .0760713
> > work_council |
> >         D1. |   .0044819   .0428912     0.10   0.917    -.0795833
> > .0885471
> > bargain_firm |
> >         D1. |  -.0117102    .022009    -0.53   0.595     -.054847
> > .0314266
> > bargain_br~h |
> >         D1. |   .0176108   .0160317     1.10   0.272    -.0138109
> > .0490324
> >  share_women |
> >         D1. |  -.3123268   .3655674    -0.85   0.393    -1.028826
> > .4041721
> >  invest_head |
> >         D1. |   3.60e-07   3.37e-07     1.07   0.286    -3.02e-07
> > 1.02e-06
> > share_acad~c |
> >         D1. |  -.1039652   .6003136    -0.17   0.863    -1.280558
> > 1.072628
> >  share_other |
> >         D1. |  -.6331339   .5519297    -1.15   0.251    -1.714896
> > .4486285
> > share_whit~l |
> >         D1. |   .2077333   .4054792     0.51   0.608    -.5869912
> > 1.002458
> > share_unsk~d |
> >         D1. |  -.5069874   .2573503    -1.97   0.049    -1.011385
> > -.00259
> >  share_azubi |
> >         D1. |  -.4534471   1.215144    -0.37   0.709    -2.835085
> > 1.928191
> >  share_age50 |
> >         D1. |   .1681527   .3965507     0.42   0.672    -.6090725
> > .9453778
> > share_a~4050 |
> >         D1. |   .2137222   .3380754     0.63   0.527    -.4488933
> > .8763378
> >  share_age30 |
> >         D1. |  -.3064232   .4795452    -0.64   0.523    -1.246315
> > .6334681
> >  firmsize_sq |
> >         D1. |   3.84e-08   1.06e-08     3.61   0.000     1.76e-08
> > 5.91e-08
> >    firmsize |
> >         D1. |  -.0005478   .0001474    -3.72   0.000    -.0008367
> > -.0002589
> >    avg_wage |
> >         D1. |   .0032925   .0037199     0.89   0.376    -.0039983
> > .0105834
> >       _cons |   -.003982   .0268464    -0.15   0.882       -.0566
> > .048636
> > 
> --------------------------------------------------------------
> --------------
> > --
> > Anderson canon. corr. LR statistic (underidentification test):
> > 108.788
> >                                                   Chi-sq(3) P-val =
> > 0.0000
> > Test statistic(s) not robust
> > 
> --------------------------------------------------------------
> --------------
> > --
> > Cragg-Donald F statistic (weak identification test):
> > 27.483
> > Stock-Yogo weak ID test critical values:  5% maximal IV 
> relative bias
> > 11.04
> >                                         10% maximal IV relative bias
> > 7.56
> >                                         20% maximal IV relative bias
> > 5.57
> >                                         30% maximal IV relative bias
> > 4.73
> >                                         10% maximal IV size
> > 16.87
> >                                         15% maximal IV size
> > 9.93
> >                                         20% maximal IV size
> > 7.54
> >                                         25% maximal IV size
> > 6.28
> > Test statistic(s) not robust
> > Source: Stock-Yogo (2005).  Reproduced by permission.
> > 
> --------------------------------------------------------------
> --------------
> > --
> > Hansen J statistic (overidentification test of all instruments):
> > 1.761
> >                                                   Chi-sq(2) P-val =
> > 0.4147
> > 
> --------------------------------------------------------------
> --------------
> > --
> > Instrumented:         D.overall_coeff_var_sq D.overall_coeff_var
> > Included instruments: D.year_d13 D.year_d12 D.year_d11 
> D.year_d10 D.year_d9
> >                      D.year_d8 D.work_council D.bargain_firm
> > D.bargain_branch
> >                      D.share_women D.invest_head D.share_academic
> > D.share_other
> >                      D.share_whitecol D.share_unskilled 
> D.share_azubi
> >                      D.share_age50 D.share_age4050 D.share_age30
> > D.firmsize_sq
> >                      D.firmsize D.avg_wage
> > Excluded instruments: L2D.overall_coeff_var_sq L2D.overall_coeff_var
> >                      LD.overall_coeff_var_sq LD.overall_coeff_var
> > Dropped collinear:    D.year_d7 D.year_d6 D.year_d5
> > 
> --------------------------------------------------------------
> --------------
> > --
> >
> >
> >
> > Some days ago, I changed the instruments from lagged first 
> and second
> > differences to lagged second and third differences, gmm to 2sls and
> > added clustered standard errors and the option -first- to 
> have a look
> > at the first stage results. In other words, I ran the 
> following code:
> > xtivreg2 `depvar' `indepvars' `exovars' (overall_coeff_var
> > overall_coeff_var_sq = L2.overall_coeff_var L2.overall_coeff_var_sq
> > L3.overall_coeff_var L3.overall_coeff_var_sq), fd 
> cluster(idnum) first
> >
> > This time I get an error message:
> >
> > D.overall_coeff_v invalid name
> > r(198); t=8.63 11:10:53
> >
> > As far as I know neither the Stata Version, nor the dataset 
> used have
> > been changed in the meantime. SAme applies to the macros 
> used for the
> > dependent and independent variables.
> >
> > I'd greatly appreciate any input on this issue as I am a bit (well,
> > really) lost at present.
> >
> > Best,
> > Nils
> > *
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> >
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> >
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> 


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