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st: RE: RE: xtivreg, xtiveg2 and time invariant excluded instruments
From
"sdm1" <[email protected]>
To
<[email protected]>
Subject
st: RE: RE: xtivreg, xtiveg2 and time invariant excluded instruments
Date
Tue, 28 Sep 2010 17:43:36 +0100
Mark,
Thanks for pointing out the problem with time invariant instruments in a
panel FE model.
>>What happens if you reestimate using xtivreg and omit lneedHPandG by
>>Hand. Do you get the same results as reported below?
No, because now xtivreg automatically drops the endogenous regressor (see
below).
xtivreg lallcancersdsmr yr78dv yr89dv (lg2_expphHPandG=llonepenhx
lpoppucarx), fe
Fixed-effects (within) IV regression Number of obs =
456
Group variable: pct_codenum Number of groups =
152
R-sq: within = 0.2390 Obs per group: min =
3
between = . avg =
3.0
overall = 0.0075 max =
3
Wald chi2(2) =
1.85e+07
corr(u_i, Xb) = -0.0000 Prob > chi2 =
0.0000
----------------------------------------------------------------------------
--
lallcance~mr | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
lg2_expphH~G | (omitted)
yr78dv | -.0141391 .0027198 -5.20 0.000 -.0194698
-.0088084
yr89dv | -.0264635 .0027198 -9.73 0.000 -.0317942
-.0211328
_cons | 4.786809 .0019232 2489.00 0.000 4.783039
4.790578
-------------+--------------------------------------------------------------
--
sigma_u | .12299815
sigma_e | .0237106
rho | .96417042 (fraction of variance due to u_i)
----------------------------------------------------------------------------
--
F test that all u_i=0: F(151,302) = 62.74 Prob > F =
0.0000
----------------------------------------------------------------------------
--
Instrumented: lg2_expphHPandG
Instruments: yr78dv yr89dv llonepenhx lpoppucarx
----------------------------------------------------------------------------
--
Steve
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Schaffer, Mark E
Sent: 27 September 2010 23:37
To: [email protected]
Subject: st: RE: xtivreg, xtiveg2 and time invariant excluded instruments
Steve,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of sdm1
> Sent: 25 September 2010 16:55
> To: [email protected]
> Subject: st: xtivreg, xtiveg2 and time invariant excluded instruments
>
> I'm trying to estimate a panel fixed effects model (152
> individuals observed annually over a 3 year period). As
> you'll see from the Stata 11 SE output below, xtivreg
> produces some estimates but xtivreg2 seems to think that
> there are too few instruments. I am puzzled by this and why
> xtivreg drops the exogenous regressor lneedHPandG from the
> model. Are either of these 'puzzles' related to the fact
> that both excluded instruments (llonepenhx
> lpoppucarx) are time invariant?
I think the answer to your question is "yes", but it still leaves me
puzzled.
Time-invariant variables turn into vectors of zeros after the
within-transformation, and drop out of the estimation. That's why
-xtivreg2- complains that the model is not identified.
What puzzles me is that xtivreg drops the variable lneedHPandG instead
of complaining about underidentification.
What happens if you reestimate using xtivreg and omit lneedHPandG by
hand, e.g.,
xtivreg lallcancersdsmr yr78dv yr89dv (lg2_expphHPandG=llonepenhx
lpoppucarx), fe
Do you get the same results as reported below?
--Mark
>
> Thanks.
>
> Steve
>
> . xtivreg lallcancersdsmr lneedHPandG yr78dv yr89dv
> (lg2_expphHPandG=llonepenhx lpoppucarx), fe
>
> Fixed-effects (within) IV regression Number of obs =
> 456
> Group variable: pct_codenum Number of groups =
> 152
>
> R-sq: within = . Obs per group: min =
> 3
> between = 0.2229 avg =
> 3.0
> overall = 0.1503 max =
> 3
>
> Wald chi2(3) =
> 6.14e+06
> corr(u_i, Xb) = -0.6050 Prob > chi2 =
> 0.0000
>
> --------------------------------------------------------------
> --------------
> --
> lallcancer~r | Coef. Std. Err. z P>|z| [95% Conf.
> Interval]
> -------------+------------------------------------------------
> ----------
> -------------+----
> --
> lg2_expphH~G | -.2661569 .1438617 -1.85 0.064 -.5481207
> .0158069
> lneedHPandG | (omitted)
> yr78dv | .0135551 .0156954 0.86 0.388 -.0172073
> .0443176
> yr89dv | .0165872 .0237433 0.70 0.485 -.0299488
> .0631232
> _cons | 4.116574 .3622872 11.36 0.000 3.406504
> 4.826644
> -------------+------------------------------------------------
> ----------
> -------------+----
> --
> sigma_u | .15213838
> sigma_e | .04114184
> rho | .93185438 (fraction of variance due to u_i)
> --------------------------------------------------------------
> --------------
> --
> F test that all u_i=0: F(151,301) = 9.87
> Prob > F =
> 0.0000
> --------------------------------------------------------------
> --------------
> --
> Instrumented: lg2_expphHPandG
> Instruments: lneedHPandG yr78dv yr89dv llonepenhx lpoppucarx
> --------------------------------------------------------------
> --------------
> --
>
> . xtivreg2 lallcancersdsmr lneedHPandG yr78dv yr89dv
> (lg2_expphHPandG=llonepenhx lpoppucarx), fe equation not
> identified; must have at least as many instruments not in the
> regression as there are instrumented variables
>
> *
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>
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