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st: RE: xthataylor and time-invariant regressors


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xthataylor and time-invariant regressors
Date   Wed, 1 Mar 2006 09:59:37 -0500

> However, using the xthtaylor command that performs Hausman 
> and Taylor estimation in stata9, stata "asks" me to specify 
> not only time-varying but also time-invariant endogenous 
> regressors, while I have only time-varying endogenous regressors.
> Including no time-invariant endogenous regressors implies an 
> error message...

This is an issue that has been discussed on this list before. I don't
think that there is a valid econometric reason for requiring that the
user specifies time-invariant endogenous regressors.

An unsupported (and only superficially tested) work-around is to comment
out the following code in xthtaylor.ado:

	if "`zvar2'" == "" {
		di as err "There are no time-invariant endogeneous " /*
			*/ "variables in the model."
		local ok = 0
	} 


Jean Salvati

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Christopher.Grigoriou@unil.ch
> Sent: Wednesday, March 01, 2006 7:55 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: xthataylor and time-invariant regressors
> 
> Dear Statalisters,
> 
> I want to estimate the impact of an invariant variable in a 
> panel data framework. Since the Hausman test rejected the use 
> of the random effect model, I have to use the Hausman-Taylor 
> estimator. 
> 
> However, using the xthtaylor command that performs Hausman 
> and Taylor estimation in stata9, stata "asks" me to specify 
> not only time-varying but also time-invariant endogenous 
> regressors, while I have only time-varying endogenous regressors.
> Including no time-invariant endogenous regressors implies an 
> error message...including some time-invariant endogenous 
> regressors (almost randomly) results in strange results 
> (unsurprisingly).
> 
> Does anyone have any idea to solve this problem?
> 
> Many thanks
> Chris
> 
> 
> 
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