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| From | "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |
| To | <statalist@hsphsun2.harvard.edu> |
| Subject | RE: st: RE: RE: xtivreg2 -- Instruments dropped |
| Date | Sun, 16 Jan 2011 14:29:35 -0000 |
Ivan,
I used your corrected dataset, and made some progress in tracking down the problem, but there are still aspects I don't understand.
1. Easy part: to identify your versions of xtivreg2, ivreg2, xtivreg, etc., you use the -which- command. It's best to use the -all- option with it, in case there are multiple versions lurking on your machine. For example,
. which xtivreg, all
C:\Program Files\Stata11\ado\updates\x\xtivreg.ado
*! version 1.5.9 11nov2009
C:\Program Files\Stata11\ado\base\x\xtivreg.ado
*! version 1.5.7 17jun2009
NB: The dulpicate versions above aren't a problem for an official program like -xtivreg-. When you update your Stata and a do file gets updated, the update goes in the updates folder and the original stays in the base folder.
2. I can't run your example, using either -xtivreg2- or official -xtivreg-. The reason is a bug, or perhaps "inflexibility", in the parsing done by -xtivreg2- and -xtivreg-. It is very simple: if you use a space between the end of an -if- statement and the comma, both -xtivreg2- and -xtivreg- complain in a very uninformative way:
First, -xtivreg2-:
. xi: xtivreg2 xrdr_ln revtr_ln mktbook_mm ebitdar_ln ///
> taxcred (L.utsa = L.govr_r) i.year ///
> if xrdr_count >= 6 , fe cluster(state_sic)
i.year _Iyear_1976-2006 (naturally coded; _Iyear_1976 omitted)
6 invalid name
r(198);
end of do-file
r(198);
Now official -xtivreg-:
. xi: xtivreg xrdr_ln revtr_ln mktbook_mm ebitdar_ln ///
> taxcred (L.utsa = L.govr_r) i.year ///
> if xrdr_count >= 6 , fe cluster(state_sic)
i.year _Iyear_1976-2006 (naturally coded; _Iyear_1976 omitted)
6 invalid name
r(198);
end of do-file
r(198);
But delete the spaces between 6 and the comma, and it works:
. xi: xtivreg2 xrdr_ln revtr_ln mktbook_mm ebitdar_ln ///
> taxcred (L.utsa = L.govr_r) i.year ///
> if xrdr_count >= 6, fe cluster(state_sic)
i.year _Iyear_1976-2006 (naturally coded; _Iyear_1976 omitted)
Warning - singleton groups detected. 295 observation(s) not used.
Warning - collinearities detected
Vars dropped: _Iyear_2006
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 3198 Obs per group: min = 2
avg = 8.5
max = 30
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on state_sic
Number of clusters (state_sic) = 1471 Number of obs = 27044
F( 34, 1470) = 3.85
Prob > F = 0.0000
Total (centered) SS = 251.0415486 Centered R2 = 0.2476
Total (uncentered) SS = 251.0415486 Uncentered R2 = 0.2476
Residual SS = 188.8924922 Root MSE = .089
------------------------------------------------------------------------------
| Robust
xrdr_ln | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
utsa |
L1. | .0174583 .0902999 0.19 0.847 -.1595263 .1944429
|
revtr_ln | .1265504 .0205411 6.16 0.000 .0862907 .1668102
mktbook_mm | .0149745 .3796314 0.04 0.969 -.7290894 .7590385
ebitdar_ln | .0408917 .0159209 2.57 0.010 .0096873 .0720961
taxcred | -.1079932 .5174864 -0.21 0.835 -1.122248 .9062615
_Iyear_1977 | -.0313348 .0448701 -0.70 0.485 -.1192785 .056609
...
<output edited for brevity>
...
_Iyear_2005 | -.0105457 .0033898 -3.11 0.002 -.0171896 -.0039017
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 46.831
Chi-sq(1) P-val = 0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 202.397
(Kleibergen-Paap rk Wald F statistic): 53.412
Stock-Yogo weak ID test critical values: 10% maximal IV size 16.38
15% maximal IV size 8.96
20% maximal IV size 6.66
25% maximal IV size 5.53
Source: Stock-Yogo (2005). Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments): 0.000
(equation exactly identified)
------------------------------------------------------------------------------
Instrumented: L.utsa
Included instruments: revtr_ln mktbook_mm ebitdar_ln taxcred _Iyear_1977
...
<output edited for brevity>
... _Iyear_2002 _Iyear_2003 _Iyear_2004 _Iyear_2005
Excluded instruments: L.govr_r
Dropped collinear: _Iyear_2006
------------------------------------------------------------------------------
3. I still don't understand what you mean when you say
> IP: I meant instruments -- in the sense that I used different
> instruments in various specifications, and each one was dropped.
I'm pretty sure you don't mean that -xtivreg2- drops every excluded instrument but still reports a coefficient for an endogenous regressor! But then, what do you mean?
But maybe it doesn't matter if simply eliminating the spaces between 6 and the comma solves your problem.
Best wishes,
Mark
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Ivan Png
> Sent: 16 January 2011 03:25
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: RE: xtivreg2 -- Instruments dropped
>
> Sorry, Mark. I've updated the data-set.
>
> On Sat, Jan 15, 2011 at 10:29 PM, Schaffer, Mark E
> <M.E.Schaffer@hw.ac.uk> wrote:
> > Ivan,
> >
> > I had the same problem as Eric. And there must be
> something else wrong, since there's only one instrument
> listed (L.govr_r) and you refer to "instruments".
> >
>
> IP: I meant instruments -- in the sense that I used different
> instruments in various specifications, and each one was dropped.
>
> > Did xtivreg2 report collinearities among your instruments
> as a reason for dropping some? Did xtivreg? If so, were the
> dropped variables the same?
>
> IP; Neither reported collinearities.
>
> > You might also want to compare the first-stage regressions
> of xtivreg2 and xtivreg.
> >
> > Oh, and tell us which versions of xtivreg2, xtivreg and
> Stata you are using.
>
> IP: Stata/IC 10.1. Sorry, please advise how to identify version of
> xtivreg2 and xtivreg
>
>
> > --Mark
> >
> >> -----Original Message-----
> >> From: owner-statalist@hsphsun2.harvard.edu
> >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
> DE SOUZA
> >> Eric
> >> Sent: 15 January 2011 12:02
> >> To: statalist@hsphsun2.harvard.edu
> >> Subject: st: RE: xtivreg2 -- Instruments dropped
> >>
> >> Check the instruction you have posted:
> >> govr_r does not exist
> >>
> >>
> >>
> >> Eric de Souza
> >> College of Europe
> >> Brugge (Bruges), Belgium
> >> http://www.coleurope.eu
> >>
> >>
> >> -----Original Message-----
> >> From: owner-statalist@hsphsun2.harvard.edu
> >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Ivan Png
> >> Sent: 15 January 2011 12:43
> >> To: statalist@hsphsun2.harvard.edu
> >> Subject: st: xtivreg2 -- Instruments dropped
> >>
> >> Dear Stata-list:
> >>
> >> I'm having difficulty with xtivreg2
> >>
> >> Each time, the system drops the instruments for the
> variable L.utsa.
> >> utsa is a state-time variable that varies across states
> and times. I
> >> checked the instruments: they are state- and time-varying.
> I don't
> >> understand why the system drops the instruments. (I tried xtivreg
> >> and it works, but I would like to use xtivreg2 so that I can get
> >> cluster standard errors and the diagnostics for weak instruments).
> >>
> >>
> >> Please help. Many thanks!
> >>
> >> Data-set:
> >> http://www.comp.nus.edu.sg/~ipng/research/company_wrkg.dta
> >>
> >>
> >> Code:
> >> . xtset gvkey year
> >>
> >> . xi: xtivreg2 xrdr_ln revtr_ln mktbook_mm ebitdar_ln taxcred ///
> >> (L.utsa = L.govr_r) i.year trend_AL - trend_WY ///
> >> if xrdr_count >= 6 , fe cluster(state_sic)
> >>
> >>
> >>
> >>
> >> --
> >> Ivan Png
> >> National U of Singapore
> >>
> >>
> >>
> >>
> >> --
> >> Skype: ipng00
> >> T: +65 6516 6807
> >>
> >>
> >>
> >> --
> >> Skype: ipng00
> >> T: +65 6516 6807
> >>
> >> *
> >> * For searches and help try:
> >> * http://www.stata.com/help.cgi?search
> >> * http://www.stata.com/support/statalist/faq
> >> * http://www.ats.ucla.edu/stat/stata/
> >>
> >> *
> >> * For searches and help try:
> >> * http://www.stata.com/help.cgi?search
> >> * http://www.stata.com/support/statalist/faq
> >> * http://www.ats.ucla.edu/stat/stata/
> >>
> >
> >
> > --
> > Heriot-Watt University is a Scottish charity registered
> under charity
> > number SC000278.
> >
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
>
>
> --
> Skype: ipng00
> T: +65 6516 6807
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
* For searches and help try:
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