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Re: st: RE: xtivreg2: confusing analytical samples reported


From   "Kemeny, Thomas Ernest" <tkemeny@email.unc.edu>
To   "<statalist@hsphsun2.harvard.edu>" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: RE: xtivreg2: confusing analytical samples reported
Date   Tue, 19 Mar 2013 14:04:42 +0000

Hi Mark,

Thanks for your help. Some answers:

Versions: I am running stata 12.1; ivreg2 v3.0.06; xtivreg2 v1.0.12.

Singletons: yes! It detects singleton groups, resulting in observations not used.

Coefficients- yes, same coefficients with or without partialling and clustered SEs.

Thanks!
Tom



On Mar 18, 2013, at 4:28 PM, "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> wrote:

> 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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> 
> 
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