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st: Hausman-Taylor AR(1) estimator


From   KORAY ERCİHAN <korayercihan@hotmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Hausman-Taylor AR(1) estimator
Date   Thu, 6 Sep 2012 19:29:45 +0300

Dear Statalist,

The issues related to Hausman and Taylor estimator have been indicated in Statalist but I couldn't find a solution for my problem.
I am using panel data including 168 bilateral trade relations under 1993-2007 years. I want to estimate Hausman-Taylor estimator (HT). Since I find autocorrelation in my data, I want to estimate HT AR(1) too.

I estimated two HT models for my variables. One of them (HT1) is having 3 variables in endog part and the other (HT2) has 4 variables in endog part. I have 7 explanatory variables at hand and I'm using time dummies as well. The overidentification test results; 0.11 with p-value: 0.9903 and 0.12 with p-value: 0.9983 for HT1 and HT2 respectively. However, I obtained these test results after commanding "xtoverid, noi" but when I use bootstrap option for xthtaylor, it gives an error about the lack of full rank for covariance matrix then I can't get the overidentification test result.

Do you think I can rely on my overidentification results since their p-values are very high? and how can I solve the autocorrelation problem?

I will very grateful if you share your knowledge.

Thanks

Koray
 		 	   		  
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