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Re: st: Re: New on ssc-ideas - xtivreg2


From   "Mark Schaffer" <[email protected]>
To   [email protected]
Subject   Re: st: Re: New on ssc-ideas - xtivreg2
Date   Fri, 4 Nov 2005 17:30:21 -0000 (GMT)

Ouch!  It's a bug.  I'll see if I can reproduce it.  Meanwhile, if you
create new variables for your excluded instruments, e.g.,

gen double lbttest=l.bttext

and use these instead, it should work fine.

--Mark

> Dear Mark,
>
> Many thanks for programming this command!
>
> I am not sure if it's just me, but when I estimated my fe model with:
>
> xtivreg2 $text (lreptextg lrectextg rcatextx = l.lrgdp95pcx l.lrgdp95pcm
> l.bttext l.lbrer l.lreptextg), fe gmm small
> I cannot get Stata to tell me the excluded instruments at the end, I get
> the
> following output:
>
> ------------------------------------------------------------------------------
> Instrumented:         lreptextg lrectextg rcatextx
> Included instruments: lrgdp95pcm lrgdp95pcx bttext lbrer d80 d81 d82 d83
> d84
> d85
>                       d86 d87 d88 d89 d90 d91 d92 d93 d94 d95 d96 d97 d98
> d99
> Excluded instruments: __000003 __000004 __000005 __000006 __000007
> __000008
>                       __000009
> Dropped collinear:    d79
> ------------------------------------------------------------------------------
>
>
> This happens with and without the gmm and small options, but it is not the
> case when I use -ivreg2- for the pooled model. Can this possibly be a bug
> in
> the program? I made sure I've got version 2.1.11 -ivreg2-
>
>
> Many thanks,
> Andrea
>
> ----- Original Message -----
> From: "Mark Schaffer" <[email protected]>
> To: <[email protected]>
> Sent: Wednesday, November 02, 2005 1:13 PM
> Subject: st: New on ssc-ideas - xtivreg2
>
>
>> Thanks to Kit Baum, a new program, -xtivreg2-, is available on ssc-
>> ideas.
>>
>> -xtivreg2- implements IV/GMM estimation of the fixed-effects and
>> first-differences panel data models with possibly endogenous
>> regressors.  It is essentially a wrapper for -ivreg2- by Baum-
>> Schaffer-Stillman, which must be installed for -xtivreg2- to run
>> (version 2.1.11 or above of -ivreg2- is required: -ssc install
>> ivreg2, replace-).  -xtivreg2- supports all the estimation and
>> reporting options of -ivreg2-; see help -ivreg2- for full
>> descriptions and examples.
>>
>> All the statistics available with -ivreg2- (heteroskedastic, cluster-
>> and autocorrelation-robust covariance matrix and standard errors,
>> overidentification and orthogonality tests, first-stage and
>> weak/underidentification statistics, etc.) are supported by
>> -xtivreg2- and will be reported with any degrees-of-freedom
>> adjustments required for a panel data estimation.
>>
>> Version 8.2 of Stata is required.
>>
>> Prof. Mark E. Schaffer
>> Director
>> Centre for Economic Reform and Transformation
>> Department of Economics
>> School of Management & Languages
>> Heriot-Watt University, Edinburgh EH14 4AS  UK
>> 44-131-451-3494 direct
>> 44-131-451-3296 fax
>> 44-131-451-4202 CERT administrator
>> http://www.sml.hw.ac.uk/cert
>>
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/support/faqs/res/findit.html
>> *   http://www.stata.com/support/statalist/faq
>> *   http://www.ats.ucla.edu/stat/stata/
>>
>
>
> *
> *   For searches and help try:
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> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>


Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes



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