Mark,
thanks a lot, I'll wait for the update.
Marc
Schaffer, Mark E wrote:
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
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.
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
