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-----Original Message-----
From: Thomas Mayock <[email protected]>
Date: Thu, 13 Dec 2007 07:35:53
To:[email protected]
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?
Cheers
Tom
----- Original Message -----
From: "Schaffer, Mark E" <[email protected]>
Date: Wednesday, December 12, 2007 6:17 pm
Subject: st: RE: Endogenous Panel Estimation
To: [email protected]
> Tom,
>
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On Behalf Of
> > Thomas Mayock
> > Sent: 12 December 2007 22:43
> > To: [email protected]
> > 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: [email protected]
> 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
> > *
> > * 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:
> * 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:
* 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:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
