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Re: st: RE: xtoverid with the partial() option?


From   Jacob Fowles <jacob.fowles@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: xtoverid with the partial() option?
Date   Wed, 23 Nov 2011 13:57:47 -0600

Mark,

Thanks for your response (and for your work on xtoverid!).  I'll just
plow ahead with doing it by hand.

Best,

Jacob




On Tue, Nov 22, 2011 at 5:34 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
>
> Jacob,
>
> Modifying xtoverid to have a partial option would be a hassle, esp. if
> you're not used to programming ados (let alone someone else's ados).
>
> It's not very appealing, but you could do G2SLS by hand and then call
> ivreg2 yourself to do the RE estimation.  xtivreg reports the estimated
> variances of the error components, and you can do the quasi-demeaning
> etc. yourself.
>
> Is there a partialling-out strategy that you could use to transform your
> variables to remove the uninteresting dummies before calling xtivreg or
> xtoverid?
>
> --Mark
>
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
> > Jacob Fowles
> > Sent: 21 November 2011 22:42
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: xtoverid with the partial() option?
> >
> > All,
> >
> > I am using the trick that has been discussed here on numerous
> > occasions of combining xtivreg, re followed by the
> > user-written xtoverid with the noisily and cluster() options
> > to estimate a random-effects IV regression with
> > cluster-robust standard errors.  My model includes a set of
> > dummy variables that are important to include as controls but
> > I do not particularly care about their individual
> > coefficients, and their presence seems to be preventing the
> > covariance matrix of moment conditions from being full rank
> > so overidentification tests are not reported.  Is it somehow
> > possible to modify xtoverid's internal call to ivreg2 to
> > include the partial() option to suppress the estimation of
> > coefficients for these dummy variables?  I have toyed with
> > xtoverid's ado-file to attempt to do this, but the fact that
> > xtoverid relies upon the Stata-assigned internal variable
> > names rather than the names that appear in my dataset have
> > left me puzzled as to how this can be accomplished.
> >
> > Potentially relevant:  I'm running Stata 12/SE in Windows 7
> > (64 bit) and have installed all recent Stata updates.  The
> > latest versions of all relevant user-written ado-files have
> > been installed.
> >
> > Best,
> >
> > Jacob
> > *
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> >
>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
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>
>
>
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