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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 20:41:46 -0000

Marc,

I found the source of your first problem: the undocumented -noisily-
option of -xtoverid- was using another option that was incompatible with
displaying first-stage results.

I'll fix it and let you and the rest of the list know when the update is
available.

Cheers,
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 15:06
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: xthtaylor by hand or using xtivreg2
> 
> Hi Mark,
> 
> After xtoverid, noisily (I cannot find xtoverid2) I receive 
> the following errors:
> 1. Unable to display summary of first-stage estimates; macro 
> e(first) is missing 2. xtoverid error: internal reestimation 
> of eqn differs from original
> 
> And sometimes also:
> Warning - endogenous variable(s) collinear with instruments
>                       *:  3200  conformability error
>                 s_egmm():     -  function returned error
>                  <istmt>:     -  function returned error
> 
> Thanks for your help.
> Marc
> 
> 
> Schaffer, Mark E wrote:
> > 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
> >>>> *
> >>>> *   For searches and help try:
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> >>>> *   http://www.stata.com/support/statalist/faq
> >>>> *   http://www.ats.ucla.edu/stat/stata/
> >>>>
> >>>>     
> >>>>         
> >>> *
> >>> *   For searches and help try:
> >>> *   http://www.stata.com/help.cgi?search
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> >>> *   http://www.ats.ucla.edu/stat/stata/
> >>>   
> >>>       
> >> --
> >> 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
> >>
> >> *
> >> *   For searches and help try:
> >> *   http://www.stata.com/help.cgi?search
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> >> *   http://www.ats.ucla.edu/stat/stata/
> >>
> >>     
> >
> >
> >   
> 
> 
> --
> 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
> 
> *
> *   For searches and help try:
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> *   http://www.ats.ucla.edu/stat/stata/
> 


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