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

From   "M.M. Kramer" <>
Subject   Re: st: -xthtaylor- by hand or using -xtivreg2-
Date   Thu, 17 Nov 2011 10:14:42 +0100

Dear Mark,

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


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.

Schaffer, Mark E wrote:

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.


-----Original Message-----
From: [] On Behalf Of Nick Cox
Sent: 10 November 2011 11:30
To: ''
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.

-----Original Message-----
From: [] On Behalf Of M.M. Kramer
Sent: 10 November 2011 11:22
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?


Schaffer, Mark E wrote:

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:

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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