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st: RE: RE: Hausman-Taylor and Autocorrelation


From   "Schaffer, Mark E" <[email protected]>
To   <[email protected]>
Subject   st: RE: RE: Hausman-Taylor and Autocorrelation
Date   Mon, 7 Mar 2011 12:55:45 -0000

May Ster, Jeff,

One way to get robust SEs for the Hausman-Taylor model is to use the
undocument -noisily- option for -xtoverid-.

-xtoverid- will report an overid stat for H-T estimation.  What it does
internally is re-estimate the model using -ivreg2-, and it reports the
overid stat from the re-estimation.  If you use the -noisily- option,
you can see the full set of results of the estimation.  It's hard to
read because the variable names are all Stata temporary variables, but
you can usually work out which are which by matching the coefficients.

HTH,
Mark

> -----Original Message-----
> From: [email protected] 
> [mailto:[email protected]] On Behalf Of 
> Wooldridge, Jeffrey
> Sent: Monday, March 07, 2011 11:43 AM
> To: [email protected]
> Subject: st: RE: Hausman-Taylor and Autocorrelation
> 
> Actually, autocorrelation does not cause inconsistency in the 
> betahats.
> The Hausman-Taylor estimator is a generalized IV estimator and, like
> GLS, it is consistent even if the second moments are misspecified. Of
> course, the instruments need to be strictly exogenous.
> 
> The main issue is how to obtain robust standard errors for the
> Hausman-Taylor approach. It can be programmed in Stata 
> without too much
> trouble, but there is a way to use Stata commands, too. Obtain the
> quasi-demeaned data using theta (just as with random effects) and then
> use ivreg on the pooled, quasi-demeaned data. Clustering at 
> the id level
> then produces valid standard errors. 
> 
> I discuss this in 2e of my MIT Press book.
> 
> JW
> 
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of May Ster
> Sent: Sunday, March 06, 2011 8:13 PM
> To: [email protected]
> Subject: st: Hausman-Taylor and Autocorrelation
> 
> Dear all,
> 
> Under the panel framework,I've used the Hausman-Taylor as an
> estimator. However, i can't find the way to check whether there's
> autocorrelation in residual after using -xthtaylor-.
> 
> 
> If i'm not wrong, if autocorrelation is the case here, the estimates
> i've obtained so far are not consistent. And, i have to find a way to
> tackle that later.
> 
> Please help. Thanks.
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