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Re: st: xthtaylor by hand or using xtivreg2


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xthtaylor by hand or using xtivreg2
Date   Wed, 2 Nov 2011 09:30:50 +0000

Thanks. That adds more detail. It's over to people who do this kind of
thing to see if they can say anything helpful.

On Wed, Nov 2, 2011 at 9:25 AM, M.M. Kramer <M.M.Kramer@rug.nl> wrote:
> Dear Nick,
>
> I am trying to estimate the impact of a self-choosen treatment on portfolio
> returns of retail investors. This self-choosen treatment is very likely
> endogenous, it does not vary over time and we do not have external
> instuments available, so Hausman-Taylor might be an appropriate estimation
> technique.  The problem that I keep encountering is that I cannot assess the
> quality of the instruments that xthtaylor creates. I cannot see the first
> stage results when using xtoverid2 and I receive warnings on collinearity.
> My idea was to create the instruments by hand and then use 2SLS to see
> what's going on. So far, I found that xthtaylor transforms the timevarying
> exogenous variables into means, and demeaned variables and uses some other
> transformations. My question therefore is how exactly to replicate the
> variable transformation of xthaylor to create the instruments by hand.
>
> Marc
>
> Nick Cox wrote:
>
>> Many people will sympathise to some degree here, but what kind of help
>> are you expecting _which can reasonably be provided_?
>>
>> 1. To comment helpfully on your difficulties with -xthtaylor- people
>> will surely want more detail on your problems.
>>
>> 2. If you seek to use -xtivreg2- (SSC), the same comment applies
>> there: the help is the place to start and people will want to see
>> specific queries.
>>
>> 3. -xthtaylor- is some hundreds of lines long, so reproducing it "by
>> hand" is not trivial.
>>
>> Nick
>>
>> On Wed, Nov 2, 2011 at 8:26 AM, M.M. Kramer <M.M.Kramer@rug.nl> wrote:
>>
>>>
>>> I have been struggling for some time with the xthtaylor command.
>>> Especially
>>> the various error messages that occur after some tests are hard to solve.
>>>  Does anyone have any clear instructions on how to transform the
>>> variables
>>> in a way that xtivreg2 can be used?  Or may be anyone has the syntax to
>>> replicate the output of xthtaylor by hand.
>>> Thanks.

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