st: RE: RE: xtoverid error: internal reestimation of eqn differs from original

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

Sezer,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of SEZER ALCAN
> Sent: 28 January 2014 15:42
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: xtoverid error: internal reestimation of eqn differs from
> original
> 
> Dr Schaffer,
>  Although xtoverid gives error,  xtoverid, noi still reports under identification
> test, weak identification test and sargan statistics.
> What if internal estimation results by ivreg2  after xtoverid,noi  command
> does show any collinearity (no regressors are dropped) is it possible to rely
> on these test results?

They should be OK, but because they don't match the original estimation you can't use them with the original estimation results - they don't apply.

In what respects to the original results differ from the xtoverid results?  Do they use the same number of observations?  Same number of coefficients reported?  Are the coefficients very slightly different or substantially different?  Are the same variables being treated as endogenous?  (One possibility is that collinearity with the excluded instruments is causing an endogenous regressor to be treated as if it is exogenous.)

If the results aren't confidential, you can post them here and we can try to work out what is going on.

--Mark

> Regards,
> Sezer Alcan
> ________________________________________
> From: owner-statalist@hsphsun2.harvard.edu [owner-
> statalist@hsphsun2.harvard.edu] on behalf of Schaffer, Mark E
> [M.E.Schaffer@hw.ac.uk]
> Sent: Wednesday, January 22, 2014 10:16 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: xtoverid error: internal reestimation of eqn differs from
> original
> 
> Sezer,
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> > statalist@hsphsun2.harvard.edu] On Behalf Of SEZER ALCAN
> > Sent: 22 January 2014 18:11
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: xtoverid error: internal reestimation of eqn differs from
> > original
> >
> > When I use xtoverid command in stata after estimation by xthtaylor or
> xtivreg
> > re /xtivreg fe,    I get "xtoverid error: internal reestimation of eqn differs
> from
> > original".  I read all replies under this subject; Dr Schaffer says
> > that it may be because of collinearity. However when I execute "
> > xtoverid, noisily " I do not detect any collinearity.
> 
> Strictly speaking, my suggestion isn't that collinearity is causing the internal
> reestimation to vary from the original estimation.  Rather, it's how Stata's
> official xthtaylor or xtivreg handles the collinearity vs. how the internal
> reestimation by xtoverid (using ivreg2) handles it.
> 
> If there is perfect collinearity, Stata estimators will typically drop enough
> regressors or instruments to make the collinearity go away.  But which of the
> collinear regressors get dropped can vary.  And this can make the estimated
> coefficients vary even though, in some sense, it's the same model.
> 
> If you look at the internal estimation results by ivreg2 that xtoverid,noi
> reports, you should see at the bottom of the main output whether ivreg2 is
> dropping any collinear regressors or instruments.  You won't be able to easily
> map the ones that are being dropped to your dataset, because xtoverid uses
> temporary variables, but it should at least be a good clue to what is going on.
> 
> HTH,
> Mark
> 
> >
> > I was wondering if this problem was due to unbalanced nature of the
> > panel I was using. If so what other  test can be executed to test over
> > identification restrictions in an unbalanced panel.
> > If collinearity isn't the problem of the error, can  xtoverid, noi
> > test results be trusted ?
> >
> >
> > I work wiht Stata 12 and latest version of xtoverid is installed.
> >
> > Thanks all in advance,
> > Sezer Alcan
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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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