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From | "M.M. Kramer" <M.M.Kramer@rug.nl> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: xthtaylor by hand or using xtivreg2 |
Date | Thu, 03 Nov 2011 11:21:51 +0100 |
Mark, thanks a lot, I'll wait for the update. Marc Schaffer, Mark E wrote:
Marc, I found the source of your first problem: the undocumented -noisily- option of -xtoverid- was using another option that was incompatible with displaying first-stage results. I'll fix it and let you and the rest of the list know when the update is available. Cheers, Mark-----Original Message-----From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of M.M. KramerSent: 02 November 2011 15:06 To: statalist@hsphsun2.harvard.edu Subject: Re: st: xthtaylor by hand or using xtivreg2 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 originalAnd 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:treatment isMarc,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: owner-statalist@hsphsun2.harvard.edu[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of M.M. KramerSent: 02 November 2011 09:26 To: statalist@hsphsun2.harvard.edu 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-choosendo not havevery likely endogenous, it does not vary over time and weinstrumentsexternal 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 theidea wasthat xthtaylor creates. I cannot see the first stage results when using xtoverid2 and I receive warnings on collinearity. Mytimevaryingto create the instruments by hand and then use 2SLS to see what's going on. So far, I found that xthtaylor transforms theuses someexogenous variables into means, and demeaned variables and860 P.O.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 whatkind of helpare you expecting _which can reasonably be provided_? 1. To comment helpfully on your difficulties with-xthtaylor- peoplewill surely want more detail on your problems. 2. If you seek to use -xtivreg2- (SSC), the same comment appliesthere: the help is the place to start and people will want to see specific queries.3. -xthtaylor- is some hundreds of lines long, soreproducing it "byhand" 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 aftersome 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 beanyone hasthe syntax to replicate the output of xthtaylor by hand. Thanks. Marc Kramer * * 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/-- Marc Kramer University of Groningen Faculty of Economics & BusinessDepartment of Economics, Econometrics and Finance Room WSNBox 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/-- Marc Kramer University of Groningen Faculty of Economics & BusinessDepartment of Economics, Econometrics and Finance Room WSN 860 P.O. Box 800 9700 AV GroningenTel.: 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/
-- 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/