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st: RE: dmexogxt - operator not allowed
From
"Martin Weiss" <[email protected]>
To
<[email protected]>
Subject
st: RE: dmexogxt - operator not allowed
Date
Sat, 13 Mar 2010 22:13:05 +0100
<>
It is easy to trigger this behavior, by introducing collinearity:
*************
sysuse auto, clear
gen mpg2=2*mpg
xtivreg price mpg* (weight turn=length displ gear_ratio trunk), fe i(rep78)
dmexogxt
*************
-findit dmexogxt- does not seem to be up to date with Stata 11 - yet.
HTH
Martin
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Lim Boon Leong
Sent: Samstag, 13. März 2010 03:03
To: [email protected]
Subject: st: dmexogxt - operator not allowed
Dear Statalists,
I am trying to run the Davidson and Mackinnon (1993) test to see whether I
should use OLS vs IV estimation for my model. After estimating the model by
using xtivreg, fe which run smoothly, I encountered the error message below
although I had installed the program:
. dmexogxt
o. operator not allowed
r(101);
Results are appended as below:
. xtivreg lsalary ceodual ined remcom1 extblock1 L.lmktbk L.roa L.ret
L.ltotasset yr02 yr
> 03 yr04 yr05 yr06 yr07 (ownexr ownex2r ownex3r L.ldiv L.debt=lrisk lsale
lsale2 ks ks2
> ys ik L2.ldiv L.roe L.ltangible L2.debt), fe small
note: yr02 omitted because of collinearity
note: yr03 omitted because of collinearity
note: yr07 omitted because of collinearity
Fixed-effects (within) IV regression Number of obs = 537
Group variable: id Number of groups = 156
R-sq: within = . Obs per group: min = 1
between = 0.0023 avg = 3.4
overall = 0.0062 max = 4
F(172,365) = 2.63
corr(u_i, Xb) = -0.6181 Prob > F = 0.0006
----------------------------------------------------------------------------
--
lsalary | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
ownexr | -8.951651 23.18508 -0.39 0.700 -54.54475
36.64145
ownex2r | 15.30009 78.55899 0.19 0.846 -139.185
169.7851
ownex3r | -11.44874 71.64421 -0.16 0.873 -152.336
129.4385
|
ldiv |
L1. | .0079697 .0767799 0.10 0.917 -.1430168
.1589563
|
debt |
L1. | .6239427 1.174232 0.53 0.595 -1.685166
2.933052
|
ceodual | .5922049 .3692546 1.60 0.110 -.1339287
1.318338
ined | -.4046325 .8446733 -0.48 0.632 -2.065669
1.256404
remcom1 | .0725139 .1588055 0.46 0.648 -.2397748
.3848026
extblock1 | .0014402 .0121892 0.12 0.906 -.0225296
.02541
|
lmktbk |
L1. | .092428 .0844485 1.09 0.274 -.0736386
.2584946
|
roa |
L1. | .2542149 .6569648 0.39 0.699 -1.037696
1.546126
|
ret |
L1. | -.057332 .0642229 -0.89 0.373 -.1836253
.0689613
|
ltotasset |
L1. | .043701 .2100873 0.21 0.835 -.3694323
.4568344
|
yr02 | (omitted)
yr03 | (omitted)
yr04 | -.2051483 .0844486 -2.43 0.016 -.3712153
-.0390814
yr05 | -.1572545 .0588233 -2.67 0.008 -.2729297
-.0415793
yr06 | -.0544535 .0468781 -1.16 0.246 -.1466386
.0377315
yr07 | (omitted)
_cons | 14.44909 3.710179 3.89 0.000 7.153082
21.7451
-------------+--------------------------------------------------------------
--
sigma_u | 1.1169955
sigma_e | .31768916
rho | .92516239 (fraction of variance due to u_i)
----------------------------------------------------------------------------
--
F test that all u_i=0: F(155,365) = 15.66 Prob > F =
0.0000
----------------------------------------------------------------------------
--
Instrumented: ownexr ownex2r ownex3r L.ldiv L.debt
Instruments: ceodual ined remcom1 extblock1 L.lmktbk L.roa L.ret
L.ltotasset yr04 yr05
yr06 lrisk lsale lsale2 ks ks2 ys ik L2.ldiv L.roe
L.ltangible L2.debt
----------------------------------------------------------------------------
--
. dmexogxt
o. operator not allowed
r(101);
Please advice.
Thank you in advance.
Best regards,
Boon Leong
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