Re: st: xthtaylor

[Mario F Rueda Narváez <mfrueda@uma.es>]

> Can I use XTHTAYLOR assuming no variables are correlated with a(i)?  In
> other words, is the endog(varlist_endog) option required?  I don't yet have
> Stata 8 so I can't just try this.
The online help for -xthtaylor- states that the endog() option is required,
http://www.stata.com/help.cgi?xthtaylor

However, the Hausman-Taylor estimator of a model where every variable in X 
and Z is assumed to be uncorrelated with the random effect [a(i), or u(i) 
in stata's notation] is simply a random-effects model (-xtreg, re- y on X 
and Z varlists). I don't have the paper here, but I think this is stated in 
Hausman and Taylor (1981) econometrica paper.


> If not, does anyone have a reaction to this proposed method:
>      1.  estimate y(it)=b*x(it) + a(i) + e(it)
>      2.  regress ahat(i) on z(i) to estimate ghat, using bootstrap to get
> standard errors right
Don't trust me much in this, but I think that depending on the procedures 
used in steps (1) and (2) (and possibly on the (un)balanced nature of your 
panel data set) you could get a "ghat" estimator that would be consistent 
but not efficient. If all variables in X and Z are really exogenous, 
-xtreg, fe- is both consistent and efficient.

Hope this helps,



Mario F. Rueda Narváez
Departamento de Estadística y Econometría
Facultad de Ciencias Económicas
Universidad de Málaga
El Ejido s/n
29013      Málaga  (España)
<http://www.estyeco.uma.es/>http://www.estyeco.uma.es/
Tlf:  +34 952 13 71 90
Fax: +34 952 13 72 62


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