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RE: st: xthtaylor by hand or using xtivreg2


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: xthtaylor by hand or using xtivreg2
Date   Wed, 2 Nov 2011 14:42:26 -0000

Marc,

What is the problem you encounter when using xtoverid or xtoverid2 with
the noisily option?  Is it that the full first-stage results aren't
displayed?  I was looking at the code and it seems that this
undocumented option should - but doesn't - trigger display of the
first-stage results.

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of M.M. Kramer
> Sent: 02 November 2011 09:26
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: xthtaylor by hand or using xtivreg2
> 
> 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.
> >> Marc Kramer
> >> *
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> >>
> >>     
> >
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> >   
> 
> 
> --
> Marc Kramer
> University of Groningen
> Faculty of Economics & Business
> Department of Economics, Econometrics and Finance Room WSN 
> 860 P.O. Box 800 9700 AV Groningen
> Tel.: 050-363.4532 / 3685
> 
> *
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> 


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