> 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: [email protected]
> [mailto:[email protected]] On Behalf Of
> [email protected]
> Sent: Wednesday, March 01, 2006 7:55 AM
> To: [email protected]
> 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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