RE: st: RE: xtivreg first stage questions

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Diego,

I've pasted your separate postings into one reponse - see below.  For some I have no suggestions; maybe others will.

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of David Torres
> Sent: 04 December 2013 16:11
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: st: RE: xtivreg first stage questions
> 
> I was wrong about the F statistic being reported at the first stage in xtivreg.  It
> appears that the F-stat is actually produced for the second stage of the G2SLS
> random effect estimator model.

If you have a single excluded instrument, then I suppose you can get the F from the t-stat in the first-stage regression.  Otherwise, -xtoverid- with the -noi- option should report the first-stage F.

> 
> Diego
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of David Torres
> Sent: 04 December 2013 16:03
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: st: RE: xtivreg first stage questions
> 
> Ah, so sorry.  There are two other things I wanted to know.
> 
> 1.  Is there no way to get the Deviance or similar statistic when using xtivreg?
> 
> 2.  I want to be able to store the estimates for the first stage as well as the
> second stage, but -eststo- does not do this.  Having this makes table creation
> easier, and easy is preferable when I have several instruments in some models.
> 
> Thanks again,
> Diego
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of David Torres
> Sent: 04 December 2013 15:53
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: st: RE: xtivreg first stage questions
> 
> Thanks, Mark,
> 
> Your comments are helpful.  Let me answer a few of your questions, though.
> 
> 1.  I'm actually using xtivreg now, not xtivreg2.  I opted for this because I
> wanted to use the random effects estimator.
> 
> 2.  I'm using the default estimator, G2SLS.
> 
> 3.  You're right about the F-stat being available at the first stage.  I simply
> needed to add the "small" option.  I had overlooked it.  Thanks.
> 
> 
> I also have other questions, if you don't mind.
> 
> 1.  Can you tell me what manual you're referring to that describes the xtivreg
> command's first stage?

The Stata manuals.  The "Methods and formulas" section of the xtivreg entry has a discussion of how the estimators are constructed.  They involve transformations of the data and then application of straight IV.  The first stage of these estimators is simply the first stage regression from straight IV applied to the transformed data.

HTH,
Mark

> 2.  Is there any problem with using a single instrument if I'm running a growth
> model with three level-1 estimates I'm focused on (intercept, linear, and
> quadratic)?  I think I'm fine here, but, like I said, I haven't seen anyone use IV in
> the HLM context.
> 
> Diego
> 
> 
> ----------------------------------------
> > From: M.E.Schaffer@hw.ac.uk
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: RE: xtivreg first stage questions
> > Date: Wed, 4 Dec 2013 14:31:21 +0000
> >
> > David,
> >
> > Some responses below. But an extra note - you've left out some important
> details (see the Statalist FAQ). Besides things like which versions of Stata and
> xtivreg you are using, you also should say which kind of estimator you are
> asking xtivreg to report (FE, G2SLS, EC2SLS, whatever).
> >
> >> -----Original Message-----
> >> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> >> statalist@hsphsun2.harvard.edu] On Behalf Of David Torres
> >> Sent: 03 December 2013 22:37
> >> To: statalist@hsphsun2.harvard.edu
> >> Subject: st: xtivreg first stage questions
> >>
> >> Hello, Statlist,
> >>
> >> I have a couple quick questions about Stata's xtivreg command. I'm
> >> using the command for a growth curve model and the variable I'm
> >> instrumenting for is a time-varying binary covariate.
> >>
> >> 1. Does anyone know whether the first stage is calculated using OLS
> >> or logit or probit? I'm told it's conventional approach to use a
> >> linear probability model when the predictor being instrumented for is
> >> binary. I would appreciate a link to any literature discussing what
> >> is done in xtivreg's first stage.
> >
> > This should be in the manual (previously hard copy, now PDF).
> >
> > Exactly how to do the first stage depends on which estimator you are asking
> for (FE, EC2SLS, FD, whatever).
> >
> > But for all of them, the first stage is least-squares-based, not logit or probit.
> Your characterisation of the first stage as a "linear probility model" is actually a
> bit misleading. The estimators implemented by xtivreg are single-equation
> (limited information) estimators. The first stage is NOT a model and a
> structural interpretation is not guaranteed or required.
> >
> > If you want to add some structure to the first stage, in effect you're thinking
> about multiple equation estimation and therefore different estimators. This
> leads to the standard trade off - possible efficiency gains if the additional
> structural assumptions are right, possible inconsistency/bias if the additional
> structural assumptions are wrong.
> >
> > A good place to read about this is Wooldridge's panel data textbook (easily
> google-able). Another good place is Baltagi's panel data textbook (also easily
> google-able).
> >
> >> 2. Is there a way to get the F-statistic from the first stage? Or is
> >> there another statistic (the z for the instrument, for instance) that
> >> I can use to show that my instrument is a good one?
> >
> > Is the -first- option not reporting what you want? It's described in the -xtivreg-
> online help. Or use -xtivreg2- if you are using the FE or FD estimators, and the
> first-stage F will be reported automatically.
> >
> >>
> >> 3. I interact the binary variable and its instrument with dummies for
> >> race and sex and then include them in their respective portion of the
> >> parentheses part of the xtivreg model. This is okay, right?
> >
> > Hard to tell exactly what you mean. But this sort of question comes up a lot
> on Statalist, and a search of the Statalist archives might be a good idea. Here's
> a link to the most recent mention of a similar issue:
> >
> > http://www.stata.com/statalist/archive/2013-11/msg01037.html
> >
> >> 4. Related to 2 and 3, since I have multiple instruments in the
> >> cross-level interaction model, I suppose I can get my Fs from the
> >> xtoverid command, using the noisily option. Am I right?
> >
> > Can't remember offhand (and I co-authored xtoverid, so this is a bad sign!).
> Try it and see.
> >
> > HTH,
> > Mark
> >
> >>
> >> Thanks,
> >>
> >>
> >> --
> >>
> >> David Diego Torres, PhD
> >> NSF SBE Postdoctoral Research Fellow
> >> Houston Education Research Consortium Rice University
> >> 6100 Main Street, MS-28
> >> Houston, TX 77005
> >> Phone: 713-348-2984
> >> Email: ddtorres at rice dot edu
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> >
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----- 
Sunday Times Scottish University of the Year 2011-2013
Top in the UK for student experience
Fourth university in the UK and top in Scotland (National Student Survey 2012)


We invite research leaders and ambitious early career researchers to 
join us in leading and driving research in key inter-disciplinary themes. 
Please see www.hw.ac.uk/researchleaders for further information and how
to apply.

Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


*
*   For searches and help try:
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