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st: RE: xtivreg2: confusing analytical samples reported


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtivreg2: confusing analytical samples reported
Date   Mon, 18 Mar 2013 20:18:24 -0000

Tom,

A few thoughts...

1.  Can you report which versions of Stata, xtivreg2, ivreg2, etc. you are using?  (As per the Statalist FAQ.)

2.  Is xtivreg2 reporting anything about not using singleton observations?  It is more informative in this respect than the official xtivreg and xtreg commands.

3.  The coefficient estimates you obtain with

xtivreg2 y (a = x z) b c d_* e_* f_*, fe ffirst partial(d_* e_* f_*) cluster(g)

you can also obtain with official xtivreg:

xtivreg2 y (a = x z) b c d_* e_* f_*, fe

Are they the same?

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Kemeny, Thomas Ernest
> Sent: 18 March 2013 16:52
> To: statalist@hsphsun2.harvard.edu
> Subject: st: xtivreg2: confusing analytical samples reported
> 
> I'm estimating a fixed effects model using annual panel data on
> individuals.There is some reason to investigate potential bias due to
> endogeneity of one predictor (let's call it variable a).
> 
> My base model, ignoring endogeneity issues, is as follows:
> 
> .xtreg y a b c i.(d e f), fe vce(cluster g)
> 
> where d, e and f represent time, geography, and industry dummy variables.
> This model runs on a certain analytical sample. This all seems fine. Here is
> where the trouble starts: starting from the same data, I then want to run
> a  2SLS, using instruments x and z. Before I can do so, I have to the generate
> the dummy variables for d, e and f, since the i() subcommand will not work
> with xtivreg2.
> 
> .qui tab d, gen (d_)
> .qui tab e, gen (e_)
> .qui tab f, gen (f_)
> 
> Then I can run xtivreg2, as follows:
> 
> .xtivreg2 y (a = x z) b c d_* e_* f_*, fe ffirst partial(d_* e_* f_*) cluster(g)
> 
> The thing is, xtivreg fe reports a smaller analytical sample than xtreg fe --
> more than a third less! And, even more curiously, if after running the
> xtivreg2, I run the following
> 
> .keep if e(sample)
> 
> the kept analytical sample is actually the same as it was in the original xtreg fe
> command.
> 
> I am perplexed. Is ixtivreg2 mis-reporting the analytical sample? Or is
> something else going on here?
> 
> Weirder - when I run xtivreg, the native stata panel IV command, the
> analytical sample here is the same as with xtreg fe, in other words the
> sample issue disappears  (but i cannot cluster SEs using xtivreg, which i can do
> using xtivreg2).
> 
> Any thoughts?
> 
> Much thanks.
> Tom
> 
> --
> Thomas Kemeny
> Research Assistant Professor
> Department of Public Policy
> University of North Carolina at Chapel Hill http://unc.edu/~tkemeny/
> *
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> *   http://www.ats.ucla.edu/stat/stata/


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