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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: > >>>> * http://www.stata.com/help.cgi?search > >>>> * 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 > >>> * http://www.stata.com/support/statalist/faq > >>> * 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 > >> * http://www.stata.com/support/statalist/faq > >> * 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 > * 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. Heriot-Watt University is the Sunday Times Scottish University of the Year 2011-2012 * * 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: xthtaylor by hand or using xtivreg2***From:*"M.M. Kramer" <M.M.Kramer@rug.nl>

**References**:**RE: st: xthtaylor by hand or using xtivreg2***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: xthtaylor by hand or using xtivreg2***From:*"M.M. Kramer" <M.M.Kramer@rug.nl>

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