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From |
Davillas Apostolos <davillas@upatras.gr> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: AW: RE: re: question on XTOVERID |

Date |
Mon, 22 Mar 2010 18:31:56 +0200 |

<> Really many thanks! On Mon, 22 Mar 2010 16:28:18 +0100, "Martin Weiss" <martin.weiss1@gmx.de> wrote: > <> > > > " Baltagi's > textbook on panel data econometrics has a short exposition of the > Hausman-Taylor model and includes a description of what the test of > overidentifying restrictions after a H-T estimation actually tests." > > > Yes, in sections 7.4 and 7.5, in particular page 135, around equation > (7.46). Having worked with -xthtaylor- myself > (http://www.ingentaconnect.com/content/mohr/fa/2009/00000065/00000001/art000 > 06) I have to say that it is not an easily explored panel data command, > because all sources in the literature use the same example, so additional > literature does not yield much insight for beginners... > > > > HTH > Martin > > > -----Ursprüngliche Nachricht----- > Von: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Schaffer, Mark > E > Gesendet: Montag, 22. März 2010 16:17 > An: statalist@hsphsun2.harvard.edu > Betreff: st: RE: re: question on XTOVERID > > Apostolos, > > A quick addendum to what Kit has said: if I'm not mistaken, Baltagi's > textbook on panel data econometrics has a short exposition of the > Hausman-Taylor model and includes a description of what the test of > overidentifying restrictions after a H-T estimation actually tests. > > Best wishes, > Mark > >> -----Original Message----- >> From: owner-statalist@hsphsun2.harvard.edu >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kit Baum >> Sent: Monday, March 22, 2010 2:05 PM >> To: statalist@hsphsun2.harvard.edu >> Subject: st: re: question on XTOVERID >> >> <> >> > I am interesting in performing a Hausman-Taylor estimation >> in stata (using >> > -xthtaylor command).However, as an attempt to test the >> assumptions required >> > to get consistent estimators (that the most, except from >> the endogenous >> > regressors, are not correlated with the time-invariant >> error term), I did >> > following: >> > xtahylor y x z e f x, endog(z) /// note f, x and z time invariant >> > variables >> > estimates store xt >> > xtreg y x e, fe >> > estimates store fe >> > hausman fe xt >> > In other words, I test the differences between the >> co-efficients from the >> > two models. If the H0 of no systematic difference was not >> rejected, the >> > instrumentation of the z variable is sufficient to remove >> any correlation >> > between the time-ivariant error term and the remaining regressors. >> > I am wondering what the -XTOVERID, after the -xtahylor >> command, could >> > exactly does? Reading the stata help file, I did not find >> any specific >> > reference for the case using the command after the xtahylor >> (except from >> > the calculation of the dof). >> >> There are two different sets of assumptions here. If you look >> at the example in -help xthtaylor-, and rerun that model >> as a FE model, the -hausman- test will not reject its null >> there either. But that hausman test is run under the >> maintained hypothesis that the FE model is consistent. If it >> was consistent, why would you be using an instrumental >> variables approach such as H-T? >> The hausman test has no power if the maintained hypothesis >> (that the first model is consistent under H0 and Ha) is violated. >> >> If you run the example in -help hausman- and then do >> -xtoverid-, you get a strong rejection of the null that the >> overidentifying >> restrictions are satisfied. In the case of H-T, the >> assumption is that some of the variables are correlated with the >> individual effect (rendering RE inconsistent) but that this >> can be dealt with using H-T. The second assumption is that ALL of the >> variables are suitably independent of the idiosyncratic error >> term. This is being tested by -xtoverid-, and the rejection >> in this case >> means, I believe, that the assumptions required for validity >> of the H-T estimates are violated. That could be true for many >> reasons, as in the usual IV case; e.g. omitted variables or >> wrong functional form. If you apply -xtoverid- after a RE >> model, for which the assumption is that X is indep of the >> individual component, a rejection means that RE assumptions >> do not hold. >> I believe the inference here w.r.t. H-T is the same. >> >> Kit Baum | Boston College Economics & DIW Berlin | >> http://ideas.repec.org/e/pba1.html >> An Introduction to Stata >> Programming | http://www.stata-press.com/books/isp.html >> An Introduction to Modern Econometrics Using Stata | >> http://www.stata-press.com/books/imeus.html >> >> >> * >> * 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/

**References**:**st: re: question on XTOVERID***From:*Kit Baum <baum@bc.edu>

**st: RE: re: question on XTOVERID***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**st: AW: RE: re: question on XTOVERID***From:*"Martin Weiss" <martin.weiss1@gmx.de>

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