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RE: st: RE: Hausman-Taylor AR(1) estimator


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: Hausman-Taylor AR(1) estimator
Date   Thu, 6 Sep 2012 22:58:59 +0100

Koray,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of KORAY ERCIHAN
> Sent: 06 September 2012 22:20
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: st: RE: Hausman-Taylor AR(1) estimator
> 
> 
> Dear Mark,
> 
> I first command: xi: xthtaylor ln_exports_od ln_gdp ln_sgdp dgdppc contig
> comlang_off ln_distcap euin i.year, endog( euin contig comlang_off)
> 
> Since xtoverid gives the following error
>       xtoverid error: internal reestimation of eqn differs from original
>       r(198)

This can mean - and probably does in this case - that something is going wrong with your xthtaylor estimation.  xtoverid uses ivreg2, and I think ivreg2 is catching a problem in your basic estimation.  If so, you shouldn't trust your xthtaylor estimations until you work out why.

> 
> I tried "xtoverid, noi" the output stata shows the Sargan Statistic chi-
> sq(3)=4.74 with p-value=0.1919

But do the estimation results - the coefficients etc. - reported by xtoverid match your xthtaylor estimations results?

> 
> Then I started try different specifications
> 
> 1- xi: xthtaylor ln_exports_od ln_gdp ln_sgdp dgdppc contig comlang_off
> ln_distcap euin i.year, endog( ln_gdp dgdppc comlang_off)
> 
>    xtoverid
>       xtoverid error: internal reestimation of eqn differs from original
>       r(198);
> 
>    xtoverid, noi
>     Sargan statistics =     0.121
>         Chi-sq(4) P-val =    0.9983

This is unclear.  How did xtoverid fail with an error, and then the next time successfully run?  Or are you saying that the second one reported the overid stat and then failed?  If so, you shouldn't trust the overid stat.

> 
> 2-xi: xthtaylor ln_exports_od ln_gdp ln_sgdp dgdppc contig comlang_off
> ln_distcap euin i.year, endog( ln_gdp dgdppc comlang_off) vce(bootstrap)
> 
>     xtoverid, noi gives the following result
> 
>    xtoverid, noi
>       Warning - endogenous variable(s) collinear with instruments

This is an important message.  It says that your xthtaylor specification probably has some serious problems.  Variables that you think are endogenous are being perfectly predicted by your instruments (after the xthtaylor transformations).  You need to sort out what is going on before going further.  Also, if you look at the reported first-stage regressions you can see that there are some problems even after ivreg2 has tried to remove the collinearities.

--Mark

>       Vars now exogenous: __00000J __00000M __00000P __00000S __00000V
> __00000Y
>                           __000011 __000014 __000017 __00001A __00001D __00001G
>                           __00001J __00001M __00001P __00001S __00001Z __000020
>       Warning - collinearities detected
>       Vars dropped:       __00000O __00000R __00000U __00000X __000010
> __000013
>                           __000019 __00001C __00001F __00001I __00001L __00001O
>                           __00001R __00000H __00000K __00000Q __00000T __00000W
>                           __00000Z __000012 __000015 __000018 __00001B __00001E
>                           __00001H __00001K __00001N __00001Q contig
>       Warning: estimated covariance matrix of moment conditions not of full
> rank.
>                standard errors and model tests should be interpreted with caution.
>       Possible causes:
>                number of clusters insufficient to calculate robust covariance matrix
>                singleton dummy variable (dummy with one 1 and N-1 0s or vice
> versa)
>       partial option may address problem.
> 
>       First-stage regressions
>       -----------------------
> 
>       First-stage regression of __00001V:
> 
>       OLS estimation
>       --------------
> 
>       Estimates efficient for homoskedasticity only
>       Statistics robust to heteroskedasticity and clustering on pairs1
> 
>       Number of clusters (pairs1) = 168                     Number of obs =     2517
>                                                             F( 26,   167) =  2.2e+16
>                                                             Prob > F      =   0.0000
>       Total (centered) SS     =  113.0830424                Centered R2   =   0.9995
>       Total (uncentered) SS   =  186.3030374                Uncentered R2 =   0.9997
>       Residual SS             =  .0529722933                Root MSE      =  .004611
> 
>       ------------------------------------------------------------------------------
>                    |               Robust
>           __00001V |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
>       -------------+----------------------------------------------------------------
>           __00000E |   -1564.76   1123.943    -1.39   0.166    -3783.727    654.2076
>           __00000J |  -.5162412   .0351062   -14.71   0.000    -.5855503   -.4469321
>           __00000M |  -.8659744   .6635963    -1.30   0.194    -2.176093    .4441444
>           __00000P |   3.50e-08   4.98e-08     0.70   0.483    -6.33e-08    1.33e-07
>           __00000S |   8.24e-08   1.85e-07     0.44   0.657    -2.84e-07    4.48e-07
>           __00000V |   8.23e-08   1.88e-07     0.44   0.662    -2.88e-07    4.53e-07
>           __00000Y |   7.54e-08   1.62e-07     0.46   0.643    -2.45e-07    3.96e-07
>           __000011 |   8.80e-08   2.13e-07     0.41   0.681    -3.33e-07    5.09e-07
>           __000014 |   8.60e-08   2.05e-07     0.42   0.676    -3.19e-07    4.91e-07
>           __000017 |  -58.81884   45.06964    -1.31   0.194    -147.7985    30.16085
>           __00001A |   6.93e-08   1.88e-07     0.37   0.714    -3.03e-07    4.41e-07
>           __00001D |   1.01e-07   2.67e-07     0.38   0.705    -4.25e-07    6.27e-07
>           __00001G |   1.58e-07   4.28e-07     0.37   0.712    -6.87e-07    1.00e-06
>           __00001J |   2.42e-07   5.92e-07     0.41   0.683    -9.26e-07    1.41e-06
>           __00001M |   2.56e-07   6.34e-07     0.40   0.687    -9.96e-07    1.51e-06
>           __00001P |   2.79e-07   6.87e-07     0.41   0.685    -1.08e-06    1.64e-06
>           __00001S |   3.29e-07   8.34e-07     0.39   0.694    -1.32e-06    1.97e-06
>           __00001Z |   .1080825   .4199995     0.26   0.797    -.7211103    .9372752
>           __000020 |  -222.1497   157.0535    -1.41   0.159     -532.216    87.91648
>           __00000I |    .516241   .0351062    14.71   0.000     .4469319    .5855501
>           __00000L |   .8659743   .6635963     1.30   0.194    -.4441445    2.176093
>           __000016 |   58.81886   45.06966     1.31   0.194    -30.16085    147.7986
>           __00001U |   .9999997   9.03e-07  1.1e+06   0.000     .9999979    1.000001
>           __00001X |  -4.87e-08   9.65e-07    -0.05   0.960    -1.95e-06    1.86e-06
>           __00000N |    151.295   106.8069     1.42   0.158    -59.57083    362.1609
>         ln_distcap |   1.402371   .9924473     1.41   0.160    -.5569892     3.36173
>       ------------------------------------------------------------------------------
>       Warning: estimated covariance matrix of moment conditions not of full
> rank.
>                standard errors and model tests should be interpreted with caution.
>       Possible causes:
>                number of clusters insufficient to calculate robust covariance matrix
>                singleton dummy variable (dummy with one 1 and N-1 0s or vice
> versa)
>       partial option may address problem.
>       ------------------------------------------------------------------------------
>       Included instruments: __00000E __00000J __00000M __00000P __00000S
> __00000V
>                             __00000Y __000011 __000014 __000017 __00001A __00001D
>                             __00001G __00001J __00001M __00001P __00001S __00001Z
>                             __000020 __00000I __00000L __000016 __00001U __00001X
>                             __00000N ln_distcap
>       ------------------------------------------------------------------------------
>       Partial R-squared of excluded instruments:   0.9958
>       Test of excluded instruments:
>         F(  7,   167) =  2.0e+11
>         Prob > F      =   0.0000
> 
>       First-stage regression of __00001Y:
> 
>       OLS estimation
>       --------------
> 
>       Estimates efficient for homoskedasticity only
>       Statistics robust to heteroskedasticity and clustering on pairs1
> 
>       Number of clusters (pairs1) = 168                     Number of obs =     2517
>                                                             F( 26,   167) =  1.6e+12
>                                                             Prob > F      =   0.0000
>       Total (centered) SS     =  159.7663429                Centered R2   =   0.9998
>       Total (uncentered) SS   =  160.0142873                Uncentered R2 =   0.9998
>       Residual SS             =  .0301100832                Root MSE      =  .003477
> 
>       ------------------------------------------------------------------------------
>                    |               Robust
>           __00001Y |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
>       -------------+----------------------------------------------------------------
>           __00000E |    294.893   57.42321     5.14   0.000      181.524     408.262
>           __00000J |   .0115646   .0334573     0.35   0.730    -.0544891    .0776183
>           __00000M |  -6.176372    .482563   -12.80   0.000    -7.129082   -5.223662
>           __00000P |  -3.91e-09   1.21e-08    -0.32   0.748    -2.79e-08    2.00e-08
>           __00000S |  -3.39e-09   4.52e-08    -0.07   0.940    -9.26e-08    8.58e-08
>           __00000V |  -3.43e-09   4.57e-08    -0.07   0.940    -9.36e-08    8.68e-08
>           __00000Y |  -3.38e-09   3.94e-08    -0.09   0.932    -8.11e-08    7.43e-08
>           __000011 |  -3.51e-09   5.17e-08    -0.07   0.946    -1.06e-07    9.86e-08
>           __000014 |  -3.47e-09   4.97e-08    -0.07   0.944    -1.02e-07    9.46e-08
>           __000017 |   18.64497   2.276844     8.19   0.000     14.14987    23.14008
>           __00001A |  -4.17e-09   4.56e-08    -0.09   0.927    -9.41e-08    8.58e-08
>           __00001D |  -3.76e-09   6.46e-08    -0.06   0.954    -1.31e-07    1.24e-07
>           __00001G |  -2.99e-09   1.04e-07    -0.03   0.977    -2.09e-07    2.03e-07
>           __00001J |  -2.05e-09   1.44e-07    -0.01   0.989    -2.87e-07    2.83e-07
>           __00001M |  -2.25e-09   1.55e-07    -0.01   0.988    -3.08e-07    3.03e-07
>           __00001P |  -1.90e-09   1.68e-07    -0.01   0.991    -3.33e-07    3.29e-07
>           __00001S |  -1.50e-09   2.03e-07    -0.01   0.994    -4.03e-07    4.00e-07
>           __00001Z |  -.7893339   .1997606    -3.95   0.000    -1.183716   -.3949522
>           __000020 |   40.77849   7.974215     5.11   0.000     25.03523    56.52176
>           __00000I |  -.0115646   .0334572    -0.35   0.730    -.0776182    .0544891
>           __00000L |   6.176372    .482563    12.80   0.000     5.223662    7.129082
>           __000016 |  -18.64498   2.276856    -8.19   0.000    -23.14011   -14.14985
>           __00001U |  -3.81e-09   2.21e-07    -0.02   0.986    -4.39e-07    4.32e-07
>           __00001X |          1   2.34e-07  4.3e+06   0.000     .9999995           1
>           __00000N |  -27.50739      5.438    -5.06   0.000    -38.24347    -16.7713
>         ln_distcap |  -.2601827   .0505418    -5.15   0.000    -.3599658   -.1603996
>       ------------------------------------------------------------------------------
>       Warning: estimated covariance matrix of moment conditions not of full
> rank.
>                standard errors and model tests should be interpreted with caution.
>       Possible causes:
>                number of clusters insufficient to calculate robust covariance matrix
>                singleton dummy variable (dummy with one 1 and N-1 0s or vice
> versa)
>       partial option may address problem.
>       ------------------------------------------------------------------------------
>       Included instruments: __00000E __00000J __00000M __00000P __00000S
> __00000V
>                             __00000Y __000011 __000014 __000017 __00001A __00001D
>                             __00001G __00001J __00001M __00001P __00001S __00001Z
>                             __000020 __00000I __00000L __000016 __00001U __00001X
>                             __00000N ln_distcap
>       ------------------------------------------------------------------------------
>       Partial R-squared of excluded instruments:   0.9971
>       Test of excluded instruments:
>         F(  7,   167) =  3.3e+12
>         Prob > F      =   0.0000
> 
>       First-stage regression of __000021:
> 
>       OLS estimation
>       --------------
> 
>       Estimates efficient for homoskedasticity only
>       Statistics robust to heteroskedasticity and clustering on pairs1
> 
>       Number of clusters (pairs1) = 168                     Number of obs =     2517
>                                                             F( 26,   167) =        .
>                                                             Prob > F      =        .
>       Total (centered) SS     =   .001764719                Centered R2   =   0.0149
>       Total (uncentered) SS   =  .0017968437                Uncentered R2 =   0.0325
>       Residual SS             =  .0017384285                Root MSE      =  .000835
> 
>       ------------------------------------------------------------------------------
>                    |               Robust
>           __000021 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
>       -------------+----------------------------------------------------------------
>           __00000E |  -2.690367          .        .       .            .           .
>           __00000J |  -.0096089          .        .       .            .           .
>           __00000M |   .1063051          .        .       .            .           .
>           __00000P |   2.23e-12          .        .       .            .           .
>           __00000S |   2.61e-11          .        .       .            .           .
>           __00000V |   2.59e-11          .        .       .            .           .
>           __00000Y |   2.28e-11          .        .       .            .           .
>           __000011 |   2.81e-11          .        .       .            .           .
>           __000014 |   2.74e-11          .        .       .            .           .
>           __000017 |   .2186006          .        .       .            .           .
>           __00001A |   1.70e-11          .        .       .            .           .
>           __00001D |   3.31e-11          .        .       .            .           .
>           __00001G |   6.25e-11          .        .       .            .           .
>           __00001J |   1.02e-10          .        .       .            .           .
>           __00001M |   1.08e-10          .        .       .            .           .
>           __00001P |   1.20e-10          .        .       .            .           .
>           __00001S |   1.43e-10          .        .       .            .           .
>           __00001Z |   .0015887          .        .       .            .           .
>           __000020 |   -.392503          .        .       .            .           .
>           __00000I |   .0096089          .        .       .            .           .
>           __00000L |  -.1063051          .        .       .            .           .
>           __000016 |  -.2186007          .        .       .            .           .
>           __00001U |  -1.53e-10          .        .       .            .           .
>           __00001X |  -3.55e-11          .        .       .            .           .
>           __00000N |   .2439816          .        .       .            .           .
>         ln_distcap |   .0025431          .        .       .            .           .
>       ------------------------------------------------------------------------------
>       Warning: estimated covariance matrix of moment conditions not of full
> rank.
>                standard errors and model tests should be interpreted with caution.
>       Possible causes:
>                number of clusters insufficient to calculate robust covariance matrix
>                singleton dummy variable (dummy with one 1 and N-1 0s or vice
> versa)
>       partial option may address problem.
>       ------------------------------------------------------------------------------
>       Included instruments: __00000E __00000J __00000M __00000P __00000S
> __00000V
>                             __00000Y __000011 __000014 __000017 __00001A __00001D
>                             __00001G __00001J __00001M __00001P __00001S __00001Z
>                             __000020 __00000I __00000L __000016 __00001U __00001X
>                             __00000N ln_distcap
>       ------------------------------------------------------------------------------
>       Partial R-squared of excluded instruments:   0.0125
>       Test of excluded instruments:
>         F(  0,   167) =        .
>         Prob > F      =        .
> 
> 
> 
>       Summary results for first-stage regressions
>       -------------------------------------------
> 
>       Variable    | Shea Partial R2 |   Partial R2    |  F(  7,   167)    P-value
>       __00001V    |     0.9933      |     0.9958      |     2.0e+11       0.0000
>       __00001Y    |     0.9776      |     0.9971      |     3.3e+12       0.0000
>       __000021    |     0.0122      |     0.0125      |           .            .
> 
>       NB: first-stage F-stat cluster-robust
> 
>       Underidentification tests
>       Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified)
>       Ha: matrix has rank=K1 (identified)
>       Kleibergen-Paap rk LM statistic             Chi-sq(5)=2.77     P-val=0.7353
>       Kleibergen-Paap rk Wald statistic           Chi-sq(5)=.        P-val=     .
> 
>       Weak identification test
>       Ho: equation is weakly identified
>       Kleibergen-Paap Wald rk F statistic                    .
>       See main output for Cragg-Donald weak id test critical values
> 
>       Weak-instrument-robust inference
>       Tests of joint significance of endogenous regressors B1 in main equation
>       Ho: B1=0 and overidentifying restrictions are valid
>       Anderson-Rubin Wald test     F(7,167)= 16.41     P-val=0.0000
>       Anderson-Rubin Wald test     Chi-sq(7)=116.70    P-val=0.0000
>       Stock-Wright LM S statistic  Chi-sq(7)=149.96    P-val=0.0000
> 
>       NB: Underidentification, weak identification and weak-identification-
> robust
>           test statistics cluster-robust
> 
>       Number of clusters             N_clust  =        168
>       Number of observations               N  =       2517
>       Number of regressors                 K  =         22
>       Number of instruments                L  =         26
>       Number of excluded instruments       L1 =          7
> 
>       IV (2SLS) estimation
>       --------------------
> 
>       Estimates efficient for homoskedasticity only
>       Statistics robust to heteroskedasticity and clustering on pairs1
> 
>       Number of clusters (pairs1) = 168                     Number of obs =     2517
>                                                             F( 22,   167) =   206.75
>                                                             Prob > F      =   0.0000
>       Total (centered) SS     =  1617.186606                Centered R2   =   0.6816
>       Total (uncentered) SS   =  1651.722694                Uncentered R2 =   0.6883
>       Residual SS             =  514.8476128                Root MSE      =    .4543
> 
>       ------------------------------------------------------------------------------
>                    |               Robust
>           __00000F |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
>       -------------+----------------------------------------------------------------
>           __00001V |   1.570001   .2646353     5.93   0.000     1.047539    2.092462
>           __00001Y |  -1.466572   .4010023    -3.66   0.000    -2.258259   -.6748846
>           __000021 |  -128.1563   112.4465    -1.14   0.256    -350.1562    93.84362
>           __00000E |  -13.86337   14.29162    -0.97   0.333     -42.0789    14.35216
>           __00000J |  -.6627835   .4548794    -1.46   0.147    -1.560839    .2352717
>           __00000M |   .2074742   .0617934     3.36   0.001     .0854772    .3294712
>           __00000P |   .0609254   .0493406     1.23   0.219    -.0364863    .1583371
>           __00000S |   .0825058   .0825237     1.00   0.319    -.0804183    .2454299
>           __00000V |   .0995982   .0854717     1.17   0.246     -.069146    .2683424
>           __00000Y |   .2799819   .0823949     3.40   0.001     .1173121    .4426518
>           __000011 |   .3832506   .0983113     3.90   0.000     .1891575    .5773438
>           __000014 |   .4761469   .0998267     4.77   0.000     .2790621    .6732318
>           __000017 |   .6613286   .1012605     6.53   0.000      .461413    .8612443
>           __00001A |   .7126187   .1066265     6.68   0.000      .502109    .9231284
>           __00001D |   .7121479   .1173461     6.07   0.000     .4804749    .9438209
>           __00001G |   .6235858   .1556122     4.01   0.000     .3163652    .9308064
>           __00001J |   .3948429   .2041333     1.93   0.055    -.0081716    .7978574
>           __00001M |   .4205724   .2167743     1.94   0.054    -.0073988    .8485436
>           __00001P |   .4553149   .2401146     1.90   0.060    -.0187363    .9293661
>           __00001S |   .2717456   .2840648     0.96   0.340    -.2890753    .8325665
>           __00001Z |  -1.177078   3.488846    -0.34   0.736    -8.065006     5.71085
>           __000020 |  -1.021229   1.758372    -0.58   0.562    -4.492731    2.450274
>       ------------------------------------------------------------------------------
>       Underidentification test (Kleibergen-Paap rk LM statistic):              2.771
>                                                          Chi-sq(5) P-val =    0.7353
>       ------------------------------------------------------------------------------
>       Weak identification test (Kleibergen-Paap rk Wald F statistic):              .
>       Stock-Yogo weak ID test critical values:  5% maximal IV relative bias    13.95
>                                                10% maximal IV relative bias     8.50
>                                                20% maximal IV relative bias     5.56
>                                                30% maximal IV relative bias     4.44
>       Source: Stock-Yogo (2005).  Reproduced by permission.
>       NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
>       ------------------------------------------------------------------------------
>       Warning: estimated covariance matrix of moment conditions not of full
> rank.
>                overidentification statistic not reported, and
>                standard errors and model tests should be interpreted with caution.
>       Possible causes:
>                number of clusters insufficient to calculate robust covariance matrix
>                singleton dummy variable (dummy with one 1 and N-1 0s or vice
> versa)
>       partial option may address problem.
>       ------------------------------------------------------------------------------
>       Instrumented:         __00001V __00001Y __000021
>       Included instruments: __00000E __00000J __00000M __00000P __00000S
> __00000V
>                             __00000Y __000011 __000014 __000017 __00001A __00001D
>                             __00001G __00001J __00001M __00001P __00001S __00001Z
>                             __000020
>       Excluded instruments: __00000I __00000L __000016 __00001U __00001X
> __00000N
>                             ln_distcap
>       Dropped collinear:    __00000O __00000R __00000U __00000X __000010
> __000013
>                             __000019 __00001C __00001F __00001I __00001L __00001O
>                             __00001R __00000H __00000K __00000Q __00000T __00000W
>                             __00000Z __000012 __000015 __000018 __00001B __00001E
>                             __00001H __00001K __00001N __00001Q contig
>       Reclassified as exog: __00000J __00000M __00000P __00000S __00000V
> __00000Y
>                             __000011 __000014 __000017 __00001A __00001D __00001G
>                             __00001J __00001M __00001P __00001S __00001Z __000020
>       ------------------------------------------------------------------------------
>       xtoverid error: internal reestimation of eqn differs from original
>       r(198);
> 
> 
> 3- xi: xthtaylor ln_exports_od ln_gdp ln_sgdp dgdppc contig comlang_off
> ln_distcap euin i.year, endog( ln_gdp ln_sgdp dgdppc comlang_off)
> 
> xtoverid, noi detected collinearities
> 
> Similar output above and its overidentication test result;
>     Sargan statistics:  0.113
>     Chi-sq(3) P-val =    0.9903
> 
> xtoverid, noi cluster(pairs1) also says "warning: estimated covariance matrix
> of moment conditions not of full rank." This also happened when command
> xthtaylor with vce(bootstrap). Both of them don't report Sargan test
> statistics.
> 
> In that sense, what should I do? can I believe my Sargan test after xtoverid
> although collinearity exists? what about collinearity since I can't use either
> bootstrap or xtoverid, cluster(pairs1). Can I use Sargan statistics after
> xtoverid, noi for my Hausman-Taylor overidentification test.
> 
> I will appreciate if you help me.
> 
> 
> 
> Thanks
> 
> 
> 
> 
> 
> 
> > Subject: st: RE: Hausman-Taylor AR(1) estimator
> > Date: Thu, 6 Sep 2012 20:45:27 +0100
> > From: M.E.Schaffer@hw.ac.uk
> > To: statalist@hsphsun2.harvard.edu
> >
> > Koray,
> >
> > You'll need to show us the output with the error message about the
> > lack of full rank etc. before we can offer advice about what it means
> > and how to deal with it.
> >
> > You can use xtoverid to get cluster-robust SEs; this is a way of
> > addressing the within-panel autocorrelation. This post briefly
> > describes how:
> >
> > http://www.stata.com/statalist/archive/2011-03/msg00414.html
> >
> > --Mark
> >
> > > -----Original Message-----
> > > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> > > statalist@hsphsun2.harvard.edu] On Behalf Of KORAY ERCIHAN
> > > Sent: 06 September 2012 17:30
> > > To: statalist@hsphsun2.harvard.edu
> > > Subject: st: Hausman-Taylor AR(1) estimator
> > >
> > > 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
> > >
> > > *
> > > * 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 the Sunday Times Scottish University of the
> > Year 2011-2012
> >
> > We invite research leaders and ambitious early career researchers to
> > join us in leading and driving research in key inter-disciplinary themes.
> > Please see www.hw.ac.uk/researchleaders for further information and
> > how to apply.
> >
> > Heriot-Watt University is a Scottish charity registered under charity
> > number SC000278.
> >
> >
> > *
> > * 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/


-- 
Heriot-Watt University is the Sunday Times
Scottish University of the Year 2011-2012

We invite research leaders and ambitious early career researchers to 
join us in leading and driving research in key inter-disciplinary themes. 
Please see www.hw.ac.uk/researchleaders for further information and how
to apply.

Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
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