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RE: st: RE: xtivreg2


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: xtivreg2
Date   Wed, 10 Mar 2010 08:09:23 -0000

Xiang,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of xiang ao
> Sent: 10 March 2010 00:37
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: xtivreg2
> 
> Thanks Martin.  bw(auto) is apparently disabled in the newest 
> version of xtivreg2.  Maybe the author (Mark Schaffer) can 
> answer the question why?

The very short answer is that it shouldn't have worked in the first place, and when we realized that we disabled it.

The slightly longer answer is that xtivreg2 is basically a wrapper with tweaks for ivreg2.  But the automatic bandwidth code in ivreg2 wasn't treating the dataset it received from xtivreg2 as a panel, and was generating the wrong automatic bandwidth.  When we discovered this, Kit and I discussed what the "right" bw was in this context, and there was no simple answer.  The automatic bandwidth Mata code in ivreg2 is for a pure time series, and something special would be required for a large-N-large-T panel.  So we just disabled it and left it to the user to specify the bandwidth.

Yours,
Mark

> Thanks,
> 
> Xiang
> 
> Martin Weiss wrote:
> > <>
> >
> > The latest version is accessible via - ssc type xtivreg2.ado-. Line 
> > 74-75
> > reads:
> >
> >
> > 		if "`bw'"=="auto" {
> > di as err "error - automatic bandwidth selection not supported by 
> > -xtivreg2-"
> >
> > This could be the source of your problems...
> >
> >
> > HTH
> > Martin
> >
> >
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Xiang Ao
> > Sent: Dienstag, 9. März 2010 22:29
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: xtivreg2
> >
> > Dear statalisters,
> >
> > It seems xtivreg2 does not support bw(auto) for automatic 
> bandwidth.  I 
> > am using Stata 11 MP under Linux.   I used it on a Windows 
> machine, with 
> > Stata 11, SE.  It works with bw(auto).  It's possible the Windows 
> > machines has an older version of xtivreg2 on it.  Is there a reason 
> > for
> > xtivreg2 to stop supporting that?
> >
> > The error says: "error - automatic bandwidth selection not 
> supported 
> > by
> > -xtivreg2-
> > invalid syntax".
> >
> >
> > Thanks,
> >
> > Xiang
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