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

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

Subject |
Re: st: Re: question on XTOVERID |

Date |
Mon, 22 Mar 2010 20:38:16 +0200 |

<> I am teribly sorry, I did not know that. Thanks for your help. Apostolos On Mon, 22 Mar 2010 14:17:23 -0400, Christopher Baum <baum@bc.edu> wrote: > <> > Statalist protocol states that you should reply to the list, and not to > the poster who responded to your question. > > FEs allow X to be corr with unit-specific error, but not idiosyncratic > error. If there is corr (X,epsilon) then FE is inconsistent (as it is OLS > wi/dummies) and you need xtivreg to get consistent ests. Thus treating > xtreg,FE as consistent is an assumption which should be tested before > treating it as the always-consistent alternative to xthtaylor. > > From Stata manual, -xthtaylor- -- see last line > > Description > xthtaylor fits panel-data random-effects models in which some of the > covariates are correlated > with the unobserved individual-level random effect. The estimators, > originally proposed by Hausman > and Taylor (1981) and by Amemiya and MaCurdy (1986), are based on > instrumental variables. By > default, xthtaylor uses the Hausman–Taylor estimator. When the amacurdy > option is specified, > xthtaylor uses the Amemiya–MaCurdy estimator. > Although the estimators implemented in xthtaylor and xtivreg (see [XT] > xtivreg) use the > method of instrumental variables, each command is designed for different > problems. The estimators > implemented in xtivreg assume that a subset of the explanatory variables > in the model are correlated > with the idiosyncratic error {epsilon}it. In contrast, the Hausman–Taylor > and Amemiya–MaCurdy estimators > that are implemented in xthtaylor assume that some of the explanatory > variables are correlated > with the individual-level random effects, {u}i, but that none of the > explanatory variables are correlated > with the idiosyncratic error, {epslion}it. > > Kit Baum | Boston College Economics and 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 > > On Mar 22, 2010, at 1:20 PM, Davillas Apostolos wrote: > >> Dear Christopher F Baum, >> >> Thanks for you reply in my question (statalist). >> Lets have: >> >> y=a+zi*g+ xit*b+mi+eit >> >> where zi, mi(error) time invariant >> and xit, eit(error) time variant. >> >> F.E. estimators require E(eit|zi, xit.....mi)=0 (I) and >> the Hausman-Taylor estimation require (I) and the exogenous variables >> (say >> x1it and z1i)to be uncorrelated with mi. >> >> Since, FE provide consistent estimators under weaker assumptions we can >> apply as simple hausman test to compare between fe and H-T. If we do not >> reject H0, no significant difference between these coefficients, means >> that >> H-T provide consistent estimates. >> >> The -htoverid option tets the assumption (I), i.e. that all the variables >> are independent of the eit. >> However, I am not very sure that this is the case in Baltani's text-book >> (page 127, equation 7.46). >> >> >> >> Apostolos Davillas >> >> PhD Candidate >> University of Patras >> Department of Economics >> University Campus, Rio >> Tel.:(+30)6974427234 >> E-mail: davillas@upatras.gr >> >> >> >> >> > > > * > * 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:*Christopher Baum <baum@bc.edu>

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