Re: st: xthtaylor by hand or using xtivreg2

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

Dear Mark,

The xtoverid works very well, thanks a lot for your help. It now gives 
first stage results for all instrumented variables, and given that all 
variables are instrumented, I get many first stage results, including 
some useful statistics. My only question is whether there is an easy way 
to see which variable is behind the "recoded" variable that xtoverid 
creates (with names like: __00000J __00000M __00000P __00000S __00000V, 
etc). I was thinking to correlate them with the original variables to 
see whether something can be inferred from that, but the new variables 
are not kept in Stata. Do you have any suggestion for this?

Thanks,
Marc


> Schaffer, Mark E wrote:
> > Marc,
> >
> > The xtoverid update is now available (with thanks as usual to Kit Baum).
> > The -noi- option automatically triggers the -first- option in the
> > internal call to -ivreg2- so you should see everything about the
> > first-stage estimations.
> >
> > Best wishes,
> > Mark
> >
> >  
> > > -----Original Message-----
> > > From: owner-statalist@hsphsun2.harvard.edu 
> > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of M.M. Kramer
> > > Sent: 03 November 2011 10:22
> > > To: statalist@hsphsun2.harvard.edu
> > > Subject: Re: st: xthtaylor by hand or using xtivreg2
> > >
> > > 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. 
> > > > > Kramer
> > > > > Sent: 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 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: owner-statalist@hsphsun2.harvard.edu
> > > > > > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of M.M. 
> > > > > > > Kramer
> > > > > > > Sent: 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-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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> > > > > > > > >
> > > > > > > > >                                         
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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
> > > > >
> > > > > *
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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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> > > *   http://www.stata.com/help.cgi?search
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> > > *   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

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