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st: RE: xtoverid error: internal reestimation of eqn differs from original
From
SEZER ALCAN <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: xtoverid error: internal reestimation of eqn differs from original
Date
Tue, 28 Jan 2014 16:10:47 +0000
I copied original estimation and xtoverid, noi results. As you can see same number of observation is used and coefficients are not substantially different. You may see it below.
I very much appreciate your comments
Regards,
Sezer Alcan
xtivreg y $xvars (sahgd = hlthlm), re
G2SLS random-effects IV regression Number of obs = 10051
Group variable: FKIMLIK Number of groups = 3784
R-sq: within = 0.0479 Obs per group: min = 2
between = 0.5865 avg = 2.7
overall = 0.5116 max = 4
Wald chi2(26) = 5525.18
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------
y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
sahgd | .0681581 .0329966 2.07 0.039 .003486 .1328303
age | .0841604 .0058326 14.43 0.000 .0727286 .0955922
age2 | -.0008967 .0000755 -11.88 0.000 -.0010446 -.0007488
wed | .122449 .0210754 5.81 0.000 .081142 .163756
illit | -.1637081 .0654399 -2.50 0.012 -.291968 -.0354482
secprim | .0974501 .0232707 4.19 0.000 .0518404 .1430599
highsch | .2458178 .0269148 9.13 0.000 .1930658 .2985698
techigh | .2928797 .0262241 11.17 0.000 .2414815 .344278
univ | .5371905 .0325742 16.49 0.000 .4733463 .6010348
nutriengh | .1259238 .0120452 10.45 0.000 .1023156 .1495319
socsecprb | .2143147 .0183127 11.70 0.000 .1784225 .2502069
prof | .4363263 .0348374 12.52 0.000 .3680462 .5046064
manag | .4134413 .0367269 11.26 0.000 .3414578 .4854248
craft | -.0143766 .0231956 -0.62 0.535 -.0598391 .0310859
machop | -.0575744 .02341 -2.46 0.014 -.1034571 -.0116917
unskll | -.1693637 .0235825 -7.18 0.000 -.2155845 -.1231429
nutriunskll | -.0274815 .0302797 -0.91 0.364 -.0868286 .0318655
sector3 | .0279124 .019475 1.43 0.152 -.0102579 .0660826
sector5 | -.0255151 .0249776 -1.02 0.307 -.0744704 .0234402
sector6 | -.1065776 .0218064 -4.89 0.000 -.1493174 -.0638379
firmsize10 | -.0530375 .0196092 -2.70 0.007 -.0914708 -.0146041
firmsize2049 | .0864132 .023699 3.65 0.000 .039964 .1328624
firmsize50p | .1883012 .0214952 8.76 0.000 .1461715 .2304309
perm | .1811101 .020985 8.63 0.000 .1399803 .2222399
yr2008 | -.1080605 .0104045 -10.39 0.000 -.128453 -.0876681
yr2009 | -.0215809 .0089087 -2.42 0.015 -.0390417 -.0041201
_cons | -1.27803 .1101712 -11.60 0.000 -1.493962 -1.062099
-------------+----------------------------------------------------------------
sigma_u | .40067359
sigma_e | .36180592
rho | .55084324 (fraction of variance due to u_i)
------------------------------------------------------------------------------
Instrumented: sahgd
Instruments: age age2 wed illit secprim highsch techigh univ nutriengh
socsecprb prof manag craft machop unskll nutriunskll sector3
sector5 sector6 firmsize10 firmsize2049 firmsize50p perm
yr2008 yr2009 hlthlm
------------------------------------------------------------------------------
. xtoverid
xtoverid error: internal reestimation of eqn differs from original
r(198);
. xtoverid, noi
First-stage regressions
-----------------------
First-stage regression of __00000I:
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Number of obs = 10051
F( 27, 10024) = 774.81
Prob > F = 0.0000
Total (centered) SS = 948.7104765 Centered R2 = 0.2241
Total (uncentered) SS = 2272.334237 Uncentered R2 = 0.6761
Residual SS = 736.1052268 Root MSE = .271
------------------------------------------------------------------------------
__00000I | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
__00000O | -.0012507 .003727 -0.34 0.737 -.0085564 .0060551
__00000R | -.0000673 .0000483 -1.39 0.164 -.000162 .0000275
__00000U | -.0085974 .0141249 -0.61 0.543 -.036285 .0190902
__00000X | -.210671 .042279 -4.98 0.000 -.2935463 -.1277956
__000010 | .0274273 .0149386 1.84 0.066 -.0018553 .0567099
__000013 | .0184523 .0177786 1.04 0.299 -.0163974 .0533019
__000016 | .0513269 .01727 2.97 0.003 .0174743 .0851794
__000019 | .0530563 .0218709 2.43 0.015 .010185 .0959275
__00001C | .0344548 .0085254 4.04 0.000 .0177433 .0511663
__00001F | .0304538 .0124402 2.45 0.014 .0060685 .0548392
__00001I | -.0071152 .0235747 -0.30 0.763 -.0533263 .0390959
__00001L | .0168858 .0254501 0.66 0.507 -.0330014 .0667731
__00001O | -.0067492 .015419 -0.44 0.662 -.0369735 .0234751
__00001R | -.0004078 .01575 -0.03 0.979 -.031281 .0304653
__00001U | -.0480332 .0157943 -3.04 0.002 -.0789933 -.0170732
__00001X | .0131181 .0212184 0.62 0.536 -.0284742 .0547104
__000020 | -.0202486 .0132233 -1.53 0.126 -.0461689 .0056717
__000023 | .0242722 .016993 1.43 0.153 -.0090374 .0575819
__000026 | -.0206897 .0145767 -1.42 0.156 -.049263 .0078835
__000029 | .0081375 .0134997 0.60 0.547 -.0183246 .0345997
__00002C | .0016234 .0162664 0.10 0.921 -.030262 .0335087
__00002F | -.0160256 .0147908 -1.08 0.279 -.0450186 .0129673
__00002I | .0114303 .0143138 0.80 0.425 -.0166277 .0394883
__00002L | .0069627 .0073903 0.94 0.346 -.0075237 .0214491
__00002O | -.0058741 .0063412 -0.93 0.354 -.0183042 .006556
__00000E | .9547274 .0680486 14.03 0.000 .8213384 1.088116
__00000L | -.4283008 .0097704 -43.84 0.000 -.4474527 -.4091489
------------------------------------------------------------------------------
Included instruments: __00000O __00000R __00000U __00000X __000010 __000013
__000016 __000019 __00001C __00001F __00001I __00001L
__00001O __00001R __00001U __00001X __000020 __000023
__000026 __000029 __00002C __00002F __00002I __00002L
__00002O __00000E __00000L
------------------------------------------------------------------------------
F test of excluded instruments:
F( 1, 10024) = 1921.65
Prob > F = 0.0000
Angrist-Pischke multivariate F test of excluded instruments:
F( 1, 10024) = 1921.65
Prob > F = 0.0000
Summary results for first-stage regressions
-------------------------------------------
(Underid) (Weak id)
Variable | F( 1, 10024) P-val | AP Chi-sq( 1) P-val | AP F( 1, 10024)
__00000I | 1921.65 0.0000 | 1926.83 0.0000 | 1921.65
Stock-Yogo weak ID test critical values for single endogenous regressor:
10% maximal IV size 16.38
15% maximal IV size 8.96
20% maximal IV size 6.66
25% maximal IV size 5.53
Source: Stock-Yogo (2005). Reproduced by permission.
Underidentification test
Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified)
Ha: matrix has rank=K1 (identified)
Anderson canon. corr. LM statistic Chi-sq(1)=1616.87 P-val=0.0000
Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic 1921.65
Stock-Yogo weak ID test critical values for K1=1 and L1=1:
10% maximal IV size 16.38
15% maximal IV size 8.96
20% maximal IV size 6.66
25% maximal IV size 5.53
Source: Stock-Yogo (2005). Reproduced by permission.
Weak-instrument-robust inference
Tests of joint significance of endogenous regressors B1 in main equation
Ho: B1=0 and orthogonality conditions are valid
Anderson-Rubin Wald test F(1,10024)= 7.17 P-val=0.0074
Anderson-Rubin Wald test Chi-sq(1)= 7.19 P-val=0.0073
Stock-Wright LM S statistic Chi-sq(1)= 7.19 P-val=0.0073
Number of observations N = 10051
Number of regressors K = 27
Number of endogenous regressors K1 = 1
Number of instruments L = 27
Number of excluded instruments L1 = 1
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Number of obs = 10051
F( 27, 10024) = 927.71
Prob > F = 0.0000
Total (centered) SS = 2432.217133 Centered R2 = 0.3602
Total (uncentered) SS = 5444.007778 Uncentered R2 = 0.7142
Residual SS = 1556.070469 Root MSE = .3935
------------------------------------------------------------------------------
__00000G | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
__00000I | .0888147 .0331225 2.68 0.007 .0238959 .1537336
__00000O | .0757184 .0054114 13.99 0.000 .0651122 .0863246
__00000R | -.0008138 .0000703 -11.58 0.000 -.0009515 -.000676
__00000U | .1304926 .0205185 6.36 0.000 .090277 .1707081
__00000X | -.1801946 .0620044 -2.91 0.004 -.3017211 -.0586681
__000010 | .1117898 .0217153 5.15 0.000 .0692286 .154351
__000013 | .2030786 .0258334 7.86 0.000 .152446 .2537111
__000016 | .2834297 .0251911 11.25 0.000 .234056 .3328033
__000019 | .5128589 .0318645 16.09 0.000 .4504056 .5753122
__00001C | .1253982 .0124417 10.08 0.000 .1010129 .1497835
__00001F | .2136176 .0180921 11.81 0.000 .1781577 .2490774
__00001I | .4131903 .0342317 12.07 0.000 .3460974 .4802832
__00001L | .436081 .0369653 11.80 0.000 .3636303 .5085317
__00001O | -.019046 .0223885 -0.85 0.395 -.0629268 .0248347
__00001R | -.0736599 .0228685 -3.22 0.001 -.1184813 -.0288385
__00001U | -.1782438 .0229984 -7.75 0.000 -.2233199 -.1331676
__00001X | -.0256015 .0308117 -0.83 0.406 -.0859914 .0347884
__000020 | .0228741 .0192233 1.19 0.234 -.0148028 .060551
__000023 | -.0349952 .0246815 -1.42 0.156 -.0833701 .0133797
__000026 | -.1084179 .0211765 -5.12 0.000 -.149923 -.0669128
__000029 | -.0628365 .0196054 -3.21 0.001 -.1012624 -.0244106
__00002C | .0772072 .0236188 3.27 0.001 .0309153 .1234991
__00002F | .1776297 .0214788 8.27 0.000 .1355321 .2197273
__00002I | .1943209 .0207961 9.34 0.000 .1535613 .2350805
__00002L | -.1077913 .0107296 -10.05 0.000 -.128821 -.0867616
__00002O | -.0214963 .0092137 -2.33 0.020 -.0395548 -.0034378
__00000E | -1.095742 .1031156 -10.63 0.000 -1.297845 -.8936388
------------------------------------------------------------------------------
Underidentification test (Anderson canon. corr. LM statistic): 1616.868
Chi-sq(1) P-val = 0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 1921.654
Stock-Yogo weak ID test critical values: 10% maximal IV size 16.38
15% maximal IV size 8.96
20% maximal IV size 6.66
25% maximal IV size 5.53
Source: Stock-Yogo (2005). Reproduced by permission.
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments): 0.000
(equation exactly identified)
------------------------------------------------------------------------------
Instrumented: __00000I
Included instruments: __00000O __00000R __00000U __00000X __000010 __000013
__000016 __000019 __00001C __00001F __00001I __00001L
__00001O __00001R __00001U __00001X __000020 __000023
__000026 __000029 __00002C __00002F __00002I __00002L
__00002O __00000E
Excluded instruments: __00000L
------------------------------------------------------------------------------
xtoverid error: internal reestimation of eqn differs from original
r(198);
________________________________________
From: [email protected] [[email protected]] on behalf of Schaffer, Mark E [[email protected]]
Sent: Tuesday, January 28, 2014 5:51 PM
To: [email protected]
Subject: st: RE: RE: xtoverid error: internal reestimation of eqn differs from original
Sezer,
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of SEZER ALCAN
> Sent: 28 January 2014 15:42
> To: [email protected]
> 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: [email protected] [owner-
> [email protected]] on behalf of Schaffer, Mark E
> [[email protected]]
> Sent: Wednesday, January 22, 2014 10:16 PM
> To: [email protected]
> Subject: st: RE: xtoverid error: internal reestimation of eqn differs from
> original
>
> Sezer,
>
> > -----Original Message-----
> > From: [email protected] [mailto:owner-
> > [email protected]] On Behalf Of SEZER ALCAN
> > Sent: 22 January 2014 18:11
> > To: [email protected]
> > 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
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/faqs/resources/statalist-faq/
> > * http://www.ats.ucla.edu/stat/stata/
>
>
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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:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
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* http://www.ats.ucla.edu/stat/stata/