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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 18:13:36 +0000

Aha - the number of singletons is exactly the difference between the two analytical samples.

Thanks Mark!

Sent from my iPhone

On Mar 19, 2013, at 11:59 AM, "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> wrote:

> So the singletons are probably the answer.  xtivreg2 tells you how many
> there were, so that would confirm it.
> 
> --Mark
> 
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
>> statalist@hsphsun2.harvard.edu] On Behalf Of Kemeny, Thomas Ernest
>> Sent: 19 March 2013 14:05
>> To: <statalist@hsphsun2.harvard.edu>
>> Subject: Re: st: RE: xtivreg2: confusing analytical samples reported
>> 
>> 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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> 
> ----- 
> Sunday Times Scottish University of the Year 2011-2013
> Top in the UK for student experience
> Fourth university in the UK and top in Scotland (National Student Survey 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.
> 
> 
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