st: error message with xtivreg2

[iskotida@aueb.gr]

I am working on a paper in which I need to compute the Shea's partial R2 for 
the estimation of a random effects panel data model
with instrumetnal variables using xtivreg and xtivreg2. 
When browsing through STATALIST archives, I found a responce to someone
who sought assistance on this issue (see below). 
I tried this suggestion myself, but I get the following error message:
"Unable to display summary of first-stage estimates; macro e(first) is 
missing" 
I thought I should write and ask your advice on this error message,
if there is an updated version of xtivreg2 that works also for random
effects models, or if you have another suggestion? 
Thanks for reading my mail. 
Regards 
Ifigeneia Skotida 



st: RE: FW: Getting F stats for xtivreg 
---------------------------------------------------------------------------- 
From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> 
To   <statalist@hsphsun2.harvard.edu> 
Subject    st: RE: FW: Getting F stats for xtivreg 
Date   Tue, 21 Nov 2006 22:12:06 -0000 

---------------------------------------------------------------------------- 
Josh, 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Freely, Joshua
> Sent: 21 November 2006 21:55
> To: statalist@hsphsun2.harvard.edu
> Subject: st: FW: Getting F stats for xtivreg 
> Hello StataList,
> I am running an xtivreg, re and I am trying to measure the 
> validity of my instruments.  Does anyone know of a way for me 
> to obtain an F-statistic for my first stage equation?   I 
> know xtivreg2 does it for FE but not RE models.  Anyone have 
> any ideas for me?
I'm working on a new version of xtivreg2 that will do random effects models 
and other things as well, but in the meantime there's an alternative, namely 
the new command -xtoverid- (available from ssc-ideas in the usual way).
The way -xtoverid- works internally is by reestimating, via a call to 
-ivreg2-, whatever -xtivreg- or -xthausman- equation was just estimated.
The -xtoverid- command has an undocumented -noisily- (or just -noi-) option. 
This tells -xtoverid- to display the internal -ivreg2- reestimation results. 
For the purposes of the -noi- option, the call to -ivreg2- includes the 
-ffirst- option, so you will see the usual array of 
first-stage/weak/underidentification stats (but not the first stage 
regressions themselves).
There is a small problem, which is that the internal reestimation uses 
temporary variable names.  Thus the first-stage stats will be for variables 
with names like __00000P.  These map 1-for-1 to the original variables, 
however, and there's a good chance you should be able to work out what they 
are.
So... after your -xtivreg- estimation,
xtoverid, noi
should tell you what you want to know.
Hope this helps.
Cheers,
Mark
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