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RE: st: RE: xt-overid
From
Giannis Paraskeuopouls <[email protected]>
To
<[email protected]>
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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