st: AW: RE: re: question on XTOVERID

["Martin Weiss" <martin.weiss1@gmx.de>]

<> 


" Baltagi's
textbook on panel data econometrics has a short exposition of the
Hausman-Taylor model and includes a description of what the test of
overidentifying restrictions after a H-T estimation actually tests."


Yes, in sections 7.4 and 7.5, in particular page 135, around equation
(7.46). Having worked with -xthtaylor- myself
(http://www.ingentaconnect.com/content/mohr/fa/2009/00000065/00000001/art000
06) I have to say that it is not an easily explored panel data command,
because all sources in the literature use the same example, so additional
literature does not yield much insight for beginners...



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Schaffer, Mark
E
Gesendet: Montag, 22. März 2010 16:17
An: statalist@hsphsun2.harvard.edu
Betreff: st: RE: re: question on XTOVERID

Apostolos,

A quick addendum to what Kit has said: if I'm not mistaken, Baltagi's
textbook on panel data econometrics has a short exposition of the
Hausman-Taylor model and includes a description of what the test of
overidentifying restrictions after a H-T estimation actually tests.

Best wishes,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kit Baum
> Sent: Monday, March 22, 2010 2:05 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: re: question on XTOVERID
> 
> <>
> > I am interesting in performing a Hausman-Taylor estimation 
> in stata (using
> > -xthtaylor command).However, as an attempt to test the 
> assumptions required
> > to get consistent estimators (that the most, except from 
> the endogenous
> > regressors, are not correlated with the time-invariant 
> error term), I did
> > following:
> > xtahylor y x z e f x, endog(z) /// note f, x and z time invariant
> > variables 
> > estimates store xt 
> > xtreg y x e, fe
> > estimates store fe
> > hausman fe xt 
> > In other words, I test the differences between the 
> co-efficients from the
> > two models. If the H0 of no systematic difference was not 
> rejected, the
> > instrumentation of the z variable is sufficient to remove 
> any correlation
> > between the time-ivariant error term and the remaining regressors.
> > I am wondering what the -XTOVERID, after the -xtahylor 
> command, could
> > exactly does? Reading the stata help file, I did not find 
> any specific
> > reference for the case using the command after the xtahylor 
> (except from
> > the calculation of the dof). 
> 
> There are two different sets of assumptions here. If you look 
> at the example in -help xthtaylor-, and rerun that model
> as a FE model, the -hausman- test will not reject its null 
> there either. But that hausman test is run under the 
> maintained hypothesis that the FE model is consistent. If it 
> was consistent, why would you be using an instrumental 
> variables approach such as H-T?
> The hausman test has no power if the maintained hypothesis 
> (that the first model is consistent under H0 and Ha) is violated.
> 
> If you run the example in -help hausman- and then do 
> -xtoverid-, you get a strong rejection of the null that the 
> overidentifying
> restrictions are satisfied. In the case of H-T, the 
> assumption is that some of the variables are correlated with the 
> individual effect (rendering RE inconsistent) but that this 
> can be dealt with using H-T. The second assumption is that ALL of the
> variables are suitably independent of the idiosyncratic error 
> term. This is being tested by -xtoverid-, and the rejection 
> in this case
> means, I believe, that the assumptions required for validity 
> of the H-T estimates are violated. That could be true for many 
> reasons, as in the usual IV case; e.g. omitted variables or 
> wrong functional form.  If you apply -xtoverid- after a RE 
> model, for which the assumption is that X is indep of the 
> individual component, a rejection means that RE assumptions 
> do not hold. 
> I believe the inference here w.r.t. H-T is the same.
> 
> Kit Baum   |   Boston College Economics & DIW Berlin   |   
> http://ideas.repec.org/e/pba1.html
>                               An Introduction to Stata 
> Programming  |   http://www.stata-press.com/books/isp.html
>    An Introduction to Modern Econometrics Using Stata  |   
> http://www.stata-press.com/books/imeus.html
> 
> 
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