Re: st: xthtaylor by hand or using xtivreg2

["M.M. Kramer" <M.M.Kramer@rug.nl>]

Dear Nick,

I am trying to estimate the impact of a self-choosen treatment on 
portfolio returns of retail investors. This self-choosen treatment is 
very likely endogenous, it does not vary over time and we do not have 
external instuments available, so Hausman-Taylor might be an appropriate 
estimation technique.  The problem that I keep encountering is that I 
cannot assess the quality of the instruments that xthtaylor creates. I 
cannot see the first stage results when using xtoverid2 and I receive 
warnings on collinearity. My idea was to create the instruments by hand 
and then use 2SLS to see what's going on. So far, I found that xthtaylor 
transforms the timevarying exogenous variables into means, and demeaned 
variables and uses some other transformations. My question therefore is 
how exactly to replicate the variable transformation of xthaylor to 
create the instruments by hand.

Marc

Nick Cox wrote:

> Many people will sympathise to some degree here, but what kind of help
> are you expecting _which can reasonably be provided_?
>
> 1. To comment helpfully on your difficulties with -xthtaylor- people
> will surely want more detail on your problems.
>
> 2. If you seek to use -xtivreg2- (SSC), the same comment applies
> there: the help is the place to start and people will want to see
> specific queries.
>
> 3. -xthtaylor- is some hundreds of lines long, so reproducing it "by
> hand" is not trivial.
>
> Nick
>
> On Wed, Nov 2, 2011 at 8:26 AM, M.M. Kramer <M.M.Kramer@rug.nl> wrote:
>   
> > I have been struggling for some time with the xthtaylor command. Especially
> > the various error messages that occur after some tests are hard to solve.
> >  Does anyone have any clear instructions on how to transform the variables
> > in a way that xtivreg2 can be used?  Or may be anyone has the syntax to
> > replicate the output of xthtaylor by hand.
> > Thanks.
> > Marc Kramer
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--
Marc Kramer
University of Groningen
Faculty of Economics & Business
Department of Economics, Econometrics and Finance
Room WSN 860
P.O. Box 800
9700 AV Groningen
Tel.: 050-363.4532 / 3685

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