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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   Thu, 3 Nov 2011 12:19:57 -0000

Marc,

The xtoverid update is now available (with thanks as usual to Kit Baum).
The -noi- option automatically triggers the -first- option in the
internal call to -ivreg2- so you should see everything about the
first-stage estimations.

Best wishes,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of M.M. Kramer
> Sent: 03 November 2011 10:22
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: xthtaylor by hand or using xtivreg2
> 
> 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
> >
> >   
> >> -----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/
> >>
> >>     
> >
> >
> >   
> 
> 
> --
> 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/
> 


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