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Re: st: RE: RE: xtivreg2 -- Instruments dropped


From   Ivan Png <[email protected]>
To   [email protected]
Subject   Re: st: RE: RE: xtivreg2 -- Instruments dropped
Date   Mon, 17 Jan 2011 17:06:22 +0800

Oh ... many thanks.  I'm so sorry for misunderstanding that.
Sorry for the trouble.


On Mon, Jan 17, 2011 at 4:50 PM, DE SOUZA Eric
<[email protected]> wrote:
> You are misunderstanding the jargon.
> Let y be regressed on X  and W, where X is endogenous and W is exogenous.
> Let Z be the exogenous variables used as instruments that are not part of the regression equation.
> W and Z are all instruments:
> W is referred to as the included (in the regression equation) instruments
> Z is referred to as the excluded (from the regression equation) instruments
> The jargon comes from simultaneous equation models.
> In a way one can say that W instruments itself
>
> Eric
>
>
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
>
>
> -----Original Message-----
> From: [email protected] [mailto:[email protected]] On Behalf Of Ivan Png
> Sent: 17 January 2011 00:18
> To: [email protected]
> Subject: Re: st: RE: RE: xtivreg2 -- Instruments dropped
>
> Dear Mark:
>
> Many thanks.  Sorry, I introduced the space when cutting and pasting from my STATA do file into the email.  I could run the xtivreg2.
>
> Thanks for the below: you have replicated my problem exactly.  The next to last line of your output reads, " Excluded instruments: L.govr_r "
> -- that's precisely my problem.  Why did xtivreg2 exclude the instrument that I wanted in (viz, L.govr_r)?  This problem did not arise with xtivreg.
>
> I encountered the same with other instruments that I tried for the endogenous variable L.utsa.  I checked all the instruments by using OLS to regress utsa on the various instruments -- they were significant in the OLS.  So, I'm baffled why xtivreg2 would exclude them.
>
>
> On Sun, Jan 16, 2011 at 10:29 PM, Schaffer, Mark E <[email protected]> wrote:
>> 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: [email protected]
>>> [mailto:[email protected]] On Behalf Of Ivan Png
>>> Sent: 16 January 2011 03:25
>>> To: [email protected]
>>> 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
>>> <[email protected]> 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: [email protected]
>>> >> [mailto:[email protected]] On Behalf Of
>>> DE SOUZA
>>> >> Eric
>>> >> Sent: 15 January 2011 12:02
>>> >> To: [email protected]
>>> >> 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: [email protected]
>>> >> [mailto:[email protected]] On Behalf Of Ivan
>>> >> Png
>>> >> Sent: 15 January 2011 12:43
>>> >> To: [email protected]
>>> >> 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
>>> >>
>>> >> *
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>>> >>
>>> >> *
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>>> >>
>>> >
>>> >
>>> > --
>>> > Heriot-Watt University is a Scottish charity registered
>>> under charity
>>> > number SC000278.
>>> >
>>> >
>>> > *
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>>>
>>>
>>>
>>> --
>>> Skype: ipng00
>>> T: +65 6516 6807
>>>
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>>
>>
>> --
>> Heriot-Watt University is a Scottish charity registered under charity
>> number SC000278.
>>
>>
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>>
>
>
>
> --
> Skype: ipng00
> T: +65 6516 6807
>
> *
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>



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T: +65 6516 6807

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