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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

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

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

Date |
Tue, 21 Jun 2011 19:49:58 +0100 |

Agnese, Austin, Am I missing something here? Using abdata.dta, webuse abdata xtivreg2 n w k, fe cluster(id year) seems to work fine. The panel identifier is id, and of course overlaps over different years, and year is one of the cluster variables. Do you have the lastest -xtivreg2-? It should be . which xtivreg2, all c:\ado\personal\xtivreg2.ado *! xtivreg2 1.0.12 17June2010 *! author mes --Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Austin Nichols > Sent: 21 June 2011 18:42 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: First stage F stats - xtivreg > > 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/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * 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:*Austin Nichols <austinnichols@gmail.com>

**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>

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

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