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Re: st: xthtaylor by hand or using xtivreg2


From   "M.M. Kramer" <[email protected]>
To   [email protected]
Subject   Re: st: xthtaylor by hand or using xtivreg2
Date   Wed, 02 Nov 2011 16:05:49 +0100

Hi Mark,

After xtoverid, noisily (I cannot find xtoverid2) I receive the following errors: 1. Unable to display summary of first-stage estimates; macro e(first) is missing
2. xtoverid error: internal reestimation of eqn differs from original

And sometimes also:
Warning - endogenous variable(s) collinear with instruments
                     *:  3200  conformability error
               s_egmm():     -  function returned error
                <istmt>:     -  function returned error

Thanks for your help.
Marc


Schaffer, Mark E wrote:
Marc,

What is the problem you encounter when using xtoverid or xtoverid2 with
the noisily option?  Is it that the full first-stage results aren't
displayed?  I was looking at the code and it seems that this
undocumented option should - but doesn't - trigger display of the
first-stage results.

--Mark

-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of M.M. Kramer
Sent: 02 November 2011 09:26
To: [email protected]
Subject: Re: st: xthtaylor by hand or using xtivreg2

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
<[email protected]> 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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--
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

*
*   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/


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