Re: st: -xthtaylor- by hand or using -xtivreg2-

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

Dear Mark,

You really helped me last time wit the -xtoverid- command. Is there 
anything you can say about my problem stated below?

Thanks,
Marc


Dear Statalist users,

After using -xtoverid- I receive the following 4 warnings: (1) 
"endogenous variable(s) collinear with instruments" ; (2) "*:  3200 
conformability error"; (3) "s_egmm(): - function returned error", and 
(4) "<istmt>:  -  function returned error".

I use -xtoverid- to access the quality of the instruments after 
estimating an unbalanced panel using the xthtaylor command. In my 
estimations I also use time-dummies. For each individual in my data set 
I have a maximum of 52 monthly observations, so I included 51 time 
dummies to absorb aggregate time effects.

From an earlier discussion with Mark Schaffer I understood that when 
running -xthtaylor- with an unbalanced panel, 3 instruments (a mean, a 
demeaned and a GLS transformation) are created from the time-varying 
exogenous variables. In an unbalanced panel the GLS transformation is 
added to the estimation as another endogenous variable.  Given that time 
dummies are also time-varying and exogenous, they will be transformed 
and used as instruments. The warnings I receive very likely have to do 
with these GLS transformed time dummies that are added as endogenous 
variables. When limiting my estimation to a balanced panel, only the 1st 
error message ("Warning - endogenous variable(s) collinear with 
instruments") remains, but -xtoverid- provides me with useful output.. 
When removing the time dummies and using my whole unbalanced panel all 
error messages disappear, except that after all the output Stata returns 
("-xtoverid- error: internal reestimation of eqn differs from 
original"), but I ignored this so far.

My question is, what can I do? I want to include the time-dummies and 
use all my data (for most individuals I do not have 52 monthly 
observations, so my data set would be severely reduced when using only 
the balanced data set). Another issue is that it feels a little awkward 
to use time dummies as instruments, as they do not have any cross 
sectional variation, but that's what -xthtaylor- does.

Thanks for your help.
Marc



Schaffer, Mark E wrote:
> Martin,
>
> There is no easy way to do what you want to do, but I can think of a
> slightly laborious way.
>
> Say you rescale a single variable in your estimation by x1000.  The
> estimation results won't change except for the coefficient(s) on the
> variable, which will also change by a factor of 1000.
>
> If you do this for each of your variables, one by one, you should be
> able to deduce what the temporary variables correspond to.
>
> Not exactly an interesting way to spend your time, but it should work.
>
> --Mark
>
>   
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
> > Sent: 10 November 2011 11:30
> > To: 'statalist@hsphsun2.harvard.edu'
> > Subject: RE: st: xthtaylor by hand or using xtivreg2
> >
> > Those are all names of temporary variables used within a 
> > program and which disappear at program end. 
> >
> > Nick
> > n.j.cox@durham.ac.uk 
> >
> >
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of M.M. Kramer
> > Sent: 10 November 2011 11:22
> > To: statalist@hsphsun2.harvard.edu
> > Subject: Re: st: xthtaylor by hand or using xtivreg2
> >
> > 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.
> > > >
> > > >         
> > *
> > *   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

*
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