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RE: st: AW: Problem with xtivreg2
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: [email protected]
> [mailto:[email protected]] On Behalf Of
> Nils Braakmann
> Sent: Thursday, December 17, 2009 1:02 PM
> To: [email protected]
> 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
> <[email protected]> wrote:
> >
> > <>
> >
> > Have you -trace-d the error yet?
> >
> >
> >
> > HTH
> > Martin
> >
> >
> > -----Ursprüngliche Nachricht-----
> > Von: [email protected]
> > [mailto:[email protected]] Im Auftrag
> von Nils Braakmann
> > Gesendet: Donnerstag, 17. Dezember 2009 13:27
> > An: [email protected]
> > 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
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
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