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RE: st: RE: Hausman-Taylor and Autocorrelation
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
RE: st: RE: Hausman-Taylor and Autocorrelation
Date
Sun, 20 Mar 2011 21:20:22 -0000
May,
In other words, the standard non-robust overid statistic is small, suggesting you shouldn't reject the null of valid instruments, but the cluster-robust overid statistic is large, suggesting you should reject the null.
This is a little unusual but possible. Usually it's the other way around, i.e., we usually expect non-robust test stats to be misleadingly small compared to the heteroskedasticity or cluster-robust versions.
One caveat - if you have only a small number of clusters, the cluster-robust test stats can be unreliable. For that matter, if clusters are panel units, and you have only a small number of panel units, HT will be unreliable as well.
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of May Ster
> Sent: 20 March 2011 20:57
> To: [email protected]
> Subject: Re: st: RE: Hausman-Taylor and Autocorrelation
>
> Apologize for not making my point clear earlier. However,
> what i meant was that i have this panel data ;
>
> Panel data set : Panel Variable : Tradepairs (Strongly Balanced)
> Time Variable : year, 1970 -2007
> delta : 1 year
> Initially i did ;
>
> xthtaylor Y X1 X2 X3,...,X9, endo(X3 X4 X7) varying(X1 X2 X3 X4 X5)
>
> After that, i used -xtoverid- , as a result, i obtained
> Sargan-Hansen Test = 2.520 with the P= 0.2837 so i considered
> this sets of instruments are valid.
>
> However, since i suspected Autocorrelations. I then followed
> suggestions as discussed by again after estimated ;
>
> xthtaylor Y X1 X2 X3,...X9, endo(X3 X4 X7) varying(X1 X2 X3 X4 X5)
>
> This time, i used -xtoverid, cluster(Tradepairs) noisily-
>
> As a result, i obtained Sargan-Hansen Statistic = 9.898 with
> P = 0.0195. This is where i'm being confused by.
> Since, as i understand, i didn't change the sets of
> instruments, but now with cluster option, the P value is
> lowered ( < 0.05) which signifies that this sets of
> instruments are now not valid?
>
> I am not sure whether this could be because i used the command option
> -cluster- wrongly.
> Please assist.
> Thank you very much in advance,
>
> May
>
> On Sun, Mar 20, 2011 at 1:02 AM, Schaffer, Mark E
> <[email protected]> wrote:
> > May,
> >
> >> -----Original Message-----
> >> From: [email protected]
> >> [mailto:[email protected]] On Behalf Of May Ster
> >> Sent: 19 March 2011 19:54
> >> To: [email protected]
> >> Subject: Re: st: RE: Hausman-Taylor and Autocorrelation
> >>
> >> Thank you Jeffrey and Mark so far,
> >>
> >> I've followed your suggestion using -xthtaylor- with -xtoverid,
> >> cluster(clustvar) noisily-
> >>
> >> However, i have some doubts regarding the results.
> >>
> >> I didn't change the sets of instruments from my previous tasks in
> >> which the overidentification test suggests the validity of
> >> instruments.
> >> Nevertheless, after i use -xtoverid, cluster(clustvar)
> >> noisily- there is the Hansen J statistic which giving the P value
> >> which is smaller (Sargan-Hansen = 6.364 with the P value =
> 0.0415)
> >> than when i use just -xtoverid- after -xthtaylor-.
> >>
> >> So , does this imply that the overidentification test I've
> previously
> >> done with -xtoverid- is no longer appropriate to identify
> that these
> >> sets of instruments are valid?
> >
> > You need to tell us more about the equations you are
> estimating. Are you saying that you estimated the *same*
> equation but now obtained a different overid statistic? That
> shouldn't be possible. If the equations weren't the same,
> how were they different?
> >
> > --Mark
> >
> >> Please assist,
> >>
> >> May
> >>
> >>
> >>
> >> On Wed, Mar 9, 2011 at 8:00 PM, Wooldridge, Jeffrey
> >> <[email protected]> wrote:
> >> >
> >> > Certainly seems easier to me!
> >> >
> >> > Even easier would be to get the Stata folks to allow
> >> "cluster" with xthtaylor in future versions.
> >> >
> >> > -----Original Message-----
> >> > From: [email protected]
> >> > [mailto:[email protected]] On Behalf Of
> >> Schaffer,
> >> > Mark E
> >> > Sent: Wednesday, March 09, 2011 2:27 PM
> >> > To: [email protected]
> >> > Subject: RE: st: RE: Hausman-Taylor and Autocorrelation
> >> >
> >> > Or, to avoid some of the tedium, after estimation by -xthtaylor-,
> >> >
> >> > xtoverid, cluster(clustvar) noisily
> >> >
> >> > will report the cluster-robust SEs for the HT estimation.
> > (Replacing,
> >> > of course, "clustvar" by the name of the variable on
> which you are
> >> > clustering.)
> >> >
> >> > Not all the tedium is avoided, because the variable names
> >> reported by -xtoverid- are Stata temporary names, so you'd have to
> >> match them to the real names by comparing the output with that of
> >> -xthtaylor-, but it probably beats doing HT by hand.
> >> >
> >> > Cheers,
> >> > Mark
> >> >
> >> > > -----Original Message-----
> >> > > From: [email protected]
> >> > > [mailto:[email protected]] On Behalf Of
> >> > > Wooldridge, Jeffrey
> >> > > Sent: 09 March 2011 18:39
> >> > > To: [email protected]
> >> > > Subject: RE: st: RE: Hausman-Taylor and Autocorrelation
> >> > >
> >> > > The transformation used by HT is the same as that used by
> >> RE, it's
> >> > > just that the former uses IV. In Stata, RE has a "theta"
> >> > > option so that you can see what fraction of the mean is
> >> subtracted
> >> > > off (which is the same for all i with a balanced panel).
> >> > > Unfortunately, it is not an option with HT.
> >> > >
> >> > > You can compute it from the HT output: it depends on
> sigmasq(u),
> >> > > sigmasq(e), and T. I call it lambda
> >> > > (unfortunately) in both editions of my book. Greene's book and
> >> > > Baltagi's must have it, too. If you get this estimate, you can
> >> > > compute the quasi-demeaned data by hand (tedious) and then use
> >> > > pooled 2SLS. With a "cluster" option the standard
> errors will be
> >> > > fully robust.
> >> > >
> >> > > Jeff
> >> > >
> >> > > -----Original Message-----
> >> > > From: [email protected]
> >> > > [mailto:[email protected]] On Behalf
> >> Of May Ster
> >> > > Sent: Tuesday, March 08, 2011 2:04 PM
> >> > > To: [email protected]
> >> > > Subject: Re: st: RE: Hausman-Taylor and Autocorrelation
> >> > >
> >> > > Thank you JW,
> >> > >
> >> > > I so far haven't managed to get that version of your MIT
> >> pressbook
> >> > > yet. I will try to get one asap.
> >> > >
> >> > > However, I am not quite sure what do you mean by firstly
> >> "Obtain the
> >> > > quasi-demeaned data using theta (just as with random effects)"
> >> > > Does that mean i shall use ...
> >> > >
> >> > > xtreg y x1 x2 x3, re
> >> > >
> >> > > then what shall then be next steps?.
> >> > >
> >> > > I have to apologise if my question is somewhat not too
> >> advanced as
> >> > > i'm very new to STATA.
> >> > > Please help. Thanks.
> >> > >
> >> > >
> >> > >
> >> > >
> >> > > On Mon, Mar 7, 2011 at 11:42 AM, Wooldridge, Jeffrey
> >> > > <[email protected]> wrote:
> >> > > >
> >> > > > 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.
> >> > > > *
> >> > > > * 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/
> >> > >
> >> > > *
> >> > > * 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/
> >> >
> >> > *
> >> > * 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/
> >
>
> *
> * 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.
*
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