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Re: st: RE: Hausman-Taylor and Autocorrelation


From   May Ster <[email protected]>
To   [email protected]
Subject   Re: st: RE: Hausman-Taylor and Autocorrelation
Date   Tue, 8 Mar 2011 21:54:32 +0000

I'm not sure why the email hasn't gone to the list. Please help with
the below question.
Many Thanks.

May

On Tue, Mar 8, 2011 at 7:03 PM, May Ster <[email protected]> wrote:
> Thank you JW,
>
> I so far haven't managed to get that version of your MIT pressbook
> yet. I will try to get one asap.
>
> However, I am not quite sure what do you mean by firstly "Obtain the
> quasi-demeaned data using theta (just as with random effects)"
> Does that mean i shall use ...
>
> xtreg y x1 x2 x3, re
>
> then what shall then be next steps?.
>
> I have to apologise if my question is somewhat not too advanced as i'm
> very new to STATA.
> Please help. Thanks.
>
>
>
>
> On Mon, Mar 7, 2011 at 11:42 AM, Wooldridge, Jeffrey <[email protected]> wrote:
>>
>> Actually, autocorrelation does not cause inconsistency in the betahats.
>> The Hausman-Taylor estimator is a generalized IV estimator and, like
>> GLS, it is consistent even if the second moments are misspecified. Of
>> course, the instruments need to be strictly exogenous.
>>
>> The main issue is how to obtain robust standard errors for the
>> Hausman-Taylor approach. It can be programmed in Stata without too much
>> trouble, but there is a way to use Stata commands, too. Obtain the
>> quasi-demeaned data using theta (just as with random effects) and then
>> use ivreg on the pooled, quasi-demeaned data. Clustering at the id level
>> then produces valid standard errors.
>>
>> I discuss this in 2e of my MIT Press book.
>>
>> JW
>>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of May Ster
>> Sent: Sunday, March 06, 2011 8:13 PM
>> To: [email protected]
>> Subject: st: Hausman-Taylor and Autocorrelation
>>
>> Dear all,
>>
>> Under the panel framework,I've used the Hausman-Taylor as an
>> estimator. However, i can't find the way to check whether there's
>> autocorrelation in residual after using -xthtaylor-.
>>
>>
>> If i'm not wrong, if autocorrelation is the case here, the estimates
>> i've obtained so far are not consistent. And, i have to find a way to
>> tackle that later.
>>
>> Please help. Thanks.
>> *
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>

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