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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: First stage F stats - xtivreg |

Date |
Tue, 21 Jun 2011 13:42:05 -0400 |

Agnese Romiti <romitiagnese@gmail.com>: You are right about -xtivreg2- refusing to participate, so you could simply include dummies for every fixed effect in -ivreg2-, e.g. webuse nhanes2, clear xtivreg2 hlthstat (iron=lead), fe i(houssiz) cluster(houssiz) xtivreg2 hlthstat (iron=lead), fe i(houssiz) cluster(location sampl) qui ta houssiz, gen(d_) ivreg2 hlthstat (iron=lead) d_*, fwl(d_*) cluster(location sampl) Or you could cluster by initial region instead, e.g. bys i (t): g initregion=region[1] which involves different assumptions, but will also give you evidence of how the data seem to be clustered. On Tue, Jun 21, 2011 at 1:06 PM, Agnese Romiti <romitiagnese@gmail.com> wrote: > Dear Austin, > > When I used as cluster unit region-year or also only region I had to > run ivreg2 on the data that I have previously transformed in deviation > to the mean (within trasformation) because the xtivreg2 requires that > no panel overlaps more than one cluster. So panels should be uniquely > assigned to clusters. > I tried to run instead xtivreg2 with two clusters as you suggested > but I received an error message "cluster(): too many variables > specified", apparently because I don't have the latest version of the > commands. I have just done an update all and my stata seems to be > updated to 30March 2011 (exe and ado), and to 1Sept 2010 , the > utilities. Is there a reason whereby I still get the error? > > Thanks > Agnese > > > > > 2011/6/21 Austin Nichols <austinnichols@gmail.com>: >> Agnese Romiti <romitiagnese@gmail.com>: >> I don't see how it matters that individuals move across clusters, >> unless you want to cluster by individual as well, and -xtivreg2- >> allows two dimensions of clustering. When you cluster by region-year, >> you assume that a draw from the dgp of person i in year t is >> independent from a draw from the dgp of person i in year t+1, which is >> clearly problematic. You should try clustering by individual, by >> region, and then try two dimensions of clustering. Let us know how >> the first stage diagnostic statistics and SEs on main variables of >> interest, in each of those 3 cases, compare to your >> region-year-clustered version. >> >> On Tue, Jun 21, 2011 at 10:47 AM, Agnese Romiti <romitiagnese@gmail.com> wrote: >>> Austin, >>> >>> The reason whereby I have chosen the region-year as cluster unit was >>> due to the fact that individuals - around 8 percent of them - move >>> across regions over time, so the region was not unique for them. >>> >>> Many thanks again for your help and the ref. >>> Agnese >>> >>> 2011/6/21 Austin Nichols <austinnichols@gmail.com>: >>>> Agnese Romiti <romitiagnese@gmail.com> >>>> In that case the cluster-robust SE will be biased downward slightly, >>>> resulting in overrejection and your first-stage F stat overstated, but >>>> I expect it will still outperform the SE and F clustering by >>>> region-year. You would have to do simulations matching your exact >>>> setup to be sure; see e.g. >>>> http://www.stata.com/meeting/13uk/nichols_crse.pdf >>>> >>>> On Tue, Jun 21, 2011 at 3:27 AM, Agnese Romiti <romitiagnese@gmail.com> wrote: >>>>> Hi, >>>>> Thanks again >>>>> In my data I have 19 regions, and around 18 percent of the data in the >>>>> largest region. >>>>> >>>>> Agnese >>>>> >>>>> >>>>> 2011/6/21 Austin Nichols <austinnichols@gmail.com>: >>>>>> Agnese Romiti <romitiagnese@gmail.com>: >>>>>> No, you should cluster by region to correctly account for possible >>>>>> serial correlation, >>>>>> assuming you have sufficiently many regions in your data; how many are there? >>>>>> What percent of the data is in the largest region? >>>>>> >>>>>> On Mon, Jun 20, 2011 at 5:19 PM, Agnese Romiti <romitiagnese@gmail.com> wrote: >>>>>>> Many thanks Austin, >>>>>>> >>>>>>> I'm actually clustering the standard errors at region-year level >>>>>>> rather than at region because I have one regressor with variability at >>>>>>> region-year level. Is that correct? >>>>>>> Do you think that the high first stage F stats might be a signal of a >>>>>>> bad instrument?Like a failure of the exogeneity requirement? >>>>>>> >>>>>>> Agnese >>>>>>> >>>>>>> >>>>>>> 2011/6/20 Austin Nichols <austinnichols@gmail.com>: >>>>>>>> Agnese Romiti <romitiagnese@gmail.com>: >>>>>>>> Are you clustering by region to account for the likely correlation of >>>>>>>> errors within region? >>>>>>>> Also see >>>>>>>> http://www.stata.com/meeting/boston10/boston10_nichols.pdf >>>>>>>> for an alternative model that allows your dep var to be nonnegative. >>>>>>>> >>>>>>>> On Mon, Jun 20, 2011 at 3:49 AM, Agnese Romiti <romitiagnese@gmail.com> wrote: >>>>>>>>> Dear Statalist users, >>>>>>>>> >>>>>>>>> I'm running a fixed effect model with IV (xtivreg2) , my dependent >>>>>>>>> variable is a measure of labor supply at the individual level (working >>>>>>>>> hours). Whereas I have an endogenous variable with variation only at >>>>>>>>> regional-year level. >>>>>>>>> My question is about the First stage statistics, the Weak >>>>>>>>> identification test results in an F statistics extremely high which >>>>>>>>> makes me worry about something wrong, i.e. F=3289. >>>>>>>>> Do you have any clue about potential reasons driving this odd result? >>>>>>>>> >>>>>>>>> Many thanks in advance for your help. >>>>>>>>> >>>>>>>>> Agnese * * 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/

**Follow-Ups**:**Re: st: First stage F stats - xtivreg***From:*Agnese Romiti <romitiagnese@gmail.com>

**RE: st: First stage F stats - xtivreg***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**References**:**st: First stage F stats - xtivreg***From:*Agnese Romiti <romitiagnese@gmail.com>

**Re: st: First stage F stats - xtivreg***From:*Austin Nichols <austinnichols@gmail.com>

**Re: st: First stage F stats - xtivreg***From:*Agnese Romiti <romitiagnese@gmail.com>

**Re: st: First stage F stats - xtivreg***From:*Austin Nichols <austinnichols@gmail.com>

**Re: st: First stage F stats - xtivreg***From:*Agnese Romiti <romitiagnese@gmail.com>

**Re: st: First stage F stats - xtivreg***From:*Austin Nichols <austinnichols@gmail.com>

**Re: st: First stage F stats - xtivreg***From:*Agnese Romiti <romitiagnese@gmail.com>

**Re: st: First stage F stats - xtivreg***From:*Austin Nichols <austinnichols@gmail.com>

**Re: st: First stage F stats - xtivreg***From:*Agnese Romiti <romitiagnese@gmail.com>

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