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


From   SEZER ALCAN <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: RE: RE: RE: xtoverid error: internal reestimation of eqn differs from original
Date   Wed, 29 Jan 2014 10:00:52 +0000

Dr Schaffer,
 You are right,  t stat of instrumental var  (hlthlm) in the first-stage is high, whatever the estimation option used (fe, re or ec2sls)  I should rigorously check that.
-when I use   the -first- option with -xtivreg-, the first-stage results does not  differ from what -xtoverid,noi- reports.
-when you use the -ec2sls - option with -xtivreg-,  first-stage results does not differ from what -xtoverid,noi- reports, but main equation results differ slightly.
I have latest version of ivreg2 installed.
I understand that I can get first stage Fstat without using xtoverid. But now I am suspicious of the Fstat I get ! 

Thank you very much for the help
Best regards,
Sezer Alcan
________________________________________
From: [email protected] [[email protected]] on behalf of Schaffer, Mark E [[email protected]]
Sent: Tuesday, January 28, 2014 7:26 PM
To: [email protected]
Subject: st: RE: RE: xtoverid error: internal reestimation of eqn differs from original

Sezer,

This is odd - all the coefficients are slightly but noticeably different.

The first-stage F stat is also suspiciously high - almost 2000.  This corresponds to the t stat of 44 (!) for hlthlm in the first-stage results.

Can you check a few other things?

- Are you using the latest version of -ivreg2-?  From within Stata,

        which ivreg2, all

will tell you.

- When you estimate using -xtivreg- with the -ec2sls- option, do the results (main equation and first stage) differ from what -xtoverid,noi- reports?

- When you use the -first- option with -xtivreg-, do the first-stage results differ from what -xtoverid,noi- reports?

BTW, since your equation is exactly identified when you use the default G2SLS estimator, this last point implies that you should be able to get the first-stage F from the first-stage results for official -xtivreg- (just square the t-stat).  In other words, you can get a compatible first-stage F stat without using -xtoverid-.

--Mark


> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of SEZER ALCAN
> Sent: 28 January 2014 16:11
> To: [email protected]
> Subject: st: RE: xtoverid error: internal reestimation of eqn differs from
> original
>
> 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] [owner-
> [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
> > > *
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> >
> >
> > -----
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> (National
> > Student Survey 2012)
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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.
>
>
> *
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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.


*
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