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RE: st: RE: Endogenous Panel Estimation


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: Endogenous Panel Estimation
Date   Thu, 13 Dec 2007 12:55:43 -0000

Tom,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Thomas Mayock
> Sent: Thursday, December 13, 2007 12:36 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: Endogenous Panel Estimation
> 
> Mark,
>     Many thanks for your help.  I have been able to run the 
> overid test with the RE model, but I keep getting an error 
> for the first stage estimates that reads "Unable to display 
> summary of first-stage estimates; macro e(first) is missing." 
>  Following the commands "xtivreg (insert specification), re" 
> , I included the line "xtoverid, noid".  I believe you 
> suggested this in another post I came across on the list.  It 
> almost looks as if this could be a problem in the call to 
> ivreg2.  Have you come across this before?

The option is -noi- (for -noisily-), not -noid-.  However,  -noi- is
undocumented because it's there to help me debug things, and so it's not
guaranteed to work for anybody (including me!).

If the -noi- option works, great, you should get first-stage stats as
well as an overid stat; if not, then drop it and you'll get just the
overid stat.  I hope this is good enough for your purposes.

Cheers,
Mark

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
http://www.sml.hw.ac.uk/cert


> Cheers
> Tom
> 
> ----- Original Message -----
> From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
> Date: Wednesday, December 12, 2007 6:17 pm
> Subject: st: RE: Endogenous Panel Estimation
> To: statalist@hsphsun2.harvard.edu
> 
> > Tom,
> > 
> > > -----Original Message-----
> > > From: owner-statalist@hsphsun2.harvard.edu
> > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Thomas 
> > > Mayock
> > > Sent: 12 December 2007 22:43
> > > To: statalist@hsphsun2.harvard.edu
> > > Subject: st: Endogenous Panel Estimation
> > > 
> > > Hello to all,
> > >     I am somewhat new to Stata, so please forgive my ignorance 
> > > should the answer to my question be painfully obvious to the more 
> > > experienced.
> > >      I am estimating a random effects panel model, and I believe 
> > > that some of the time-invariant regressors are 
> endogenous.  I have 
> > > experimented with xtivreg and xtivreg2, but I have not 
> figured out a 
> > > (simple) way to test for overidentifying restrictions or 
> perform the 
> > > standard first-stage joint significance test.  I know these are 
> > > options for the fixed effects model.  Is there another 
> routine out 
> > > there that may allow for these tests?
> > 
> > -xtoverid-, available from SSC (as soon as it's back up 
> again!), will 
> > do an overid test after xtivreg with random effects.
> > 
> > Cheers,
> > Mark
> > 
> > Prof. Mark Schaffer
> > Director, CERT
> > Department of Economics
> > School of Management & Languages
> > Heriot-Watt University, Edinburgh EH14 4AS tel 
> +44-131-451-3494 / fax 
> > +44-131-451-3296
> > email: m.e.schaffer@hw.ac.uk
> > web: http://www.sml.hw.ac.uk/ecomes
> > 
> > 
> > > I have
> > > searched around the internet a bit, but I have yet to come across 
> > > anything.  I just wanted to try the board about before 
> cranking this 
> > > out in Matlab.
> > >      Thanks in advance for any help.
> > > Best,
> > > Tom
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