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RE: st: RE: xt-overid


From   Giannis Paraskeuopouls <gparaskeuopouls@hotmail.gr>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: xt-overid
Date   Tue, 27 Jul 2010 07:50:41 +0100

<>

Dear Mark, 

I apply a simple specification with the following results.
As far as I can understand, I cannot detect any 
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collinear covariate
. 

Any further suggestion will be very helpful for me.
Thanks for your time.




Hausman-Taylor estimation                       Number of obs      =      2371
Group variable: pid                             Number of groups   =       924

                                                Obs per group: min =         1
                                                               avg =       2.6
                                                               max =         4

Random effects u_i ~ i.i.d.                     Wald chi2(5)       =    176.62
                                                Prob> chi2        =    0.0000

------------------------------------------------------------------------------
           y |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
TVexogenous  |
          x3 |   .0901647   .0142374     6.33   0.000     .0622599    .1180695
          x4 |  -.0009394   .0001804    -5.21   0.000     -.001293   -.0005858
TVendogenous |
          x1 |   .0345216   .0285467     1.21   0.227     -.021429    .0904722
          x2 |  -.0110938   .0188113    -0.59   0.555    -.0479632    .0257756
TIexogenous  |
           z |     .00538   .0554796     0.10   0.923    -.1033581    .1141181
             |
       _cons |   5.127793   .2687313    19.08   0.000     4.601089    5.654496
-------------+----------------------------------------------------------------
     sigma_u |  .38947408
     sigma_e |  .15821257
         rho |  .85835765   (fraction of variance due to u_i)
------------------------------------------------------------------------------
Note:  TV refers to time varying; TI refers to time invariant.

. xtoverid, noi

Unable to display summary of first-stage estimates; macro e(first) is missing

IV (2SLS) estimation
--------------------

Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only

                                                      Number of obs =     2371
                                                      F(  6,  2365) = 43818.44
                                                      Prob> F      =   0.0000
Total (centered) SS     =  471.3732632                Centered R2   =   0.8745
Total (uncentered) SS   =  6638.706126                Uncentered R2 =   0.9911
Residual SS             =  59.17312567                Root MSE      =    .1582

------------------------------------------------------------------------------
    __00000F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
    __00000J |   .0796422    .012197     6.53   0.000     .0557242    .1035602
    __00000M |  -.0008347   .0001549    -5.39   0.000    -.0011386   -.0005309
    __00000P |   .0631606   .0275503     2.29   0.022     .0091354    .1171858
    __00000S |   .0008087    .017107     0.05   0.962    -.0327375     .034355
    __00000T |  -.0051645   .0612297    -0.08   0.933     -.125234     .114905
    __00000E |   5.360727   .2297611    23.33   0.000     4.910173    5.811281
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments):           7.576
                                                   Chi-sq(2) P-val =    0.0226
------------------------------------------------------------------------------
Instrumented:         __00000J __00000M __00000P __00000S __00000T
Included instruments: __00000E
Excluded instruments: __00000I __00000L __00000O __00000R __00000H __00000K z
------------------------------------------------------------------------------
xtoverid error: internal reestimation of eqn differs from original
r(198);


Best wishes
Giannis P.

















 		 	   		  
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