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st: overid with fixed effects


From   Sorin Krammer <[email protected]>
To   [email protected]
Subject   st: overid with fixed effects
Date   Tue, 25 Feb 2014 11:18:04 +0100

Dear Stata-listers,

I am having some trouble running the diagnostic tests (overid) after
IVprobit.
Specifically, the overid command does not work, and I get the following
error message:
"o. operator not allowed"

The dataset is a cross-section of firms, and the dummies represent
country and sector fixed-effects.

Below is the Stata output.
Any help on solving this issue would be much appreciated.

Thank you,
Sorin



ivprobit niperf (wibe =wibe_src12) lnsize age pfo manexp comp export rd
finance dummysec* dummycountry*,twostep

note: dummysec18 omitted because of collinearity
note: dummycountry30 omitted because of collinearity
Checking reduced-form model...

Two-step probit with endogenous regressors        Number of obs   =     
7938
                                                  Wald chi2(55)   =  
1338.02
                                                  Prob > chi2     =   
0.0000

--------------------------------------------------------------------------------
               |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
---------------+----------------------------------------------------------------
         wibe |   .0387125   .0099985     3.87   0.000     .0191157   
.0583092
        lnsize |   .0578077    .012631     4.58   0.000     .0330514    
.082564
           age |  -.0027215   .0012543    -2.17   0.030      -.00518  
-.0002631
           pfo |   .2103776   .0621549     3.38   0.001     .0885563    
.332199
        manexp |   .0020969   .0015714     1.33   0.182     -.000983   
.0051768
          comp |   .1019847   .0149898     6.80   0.000     .0726053   
.1313641
        export |   .2576724   .0436627     5.90   0.000     .1720951   
.3432498
            rd |   .8353312   .0398095    20.98   0.000      .757306   
.9133565
       finance |    .198445   .0329135     6.03   0.000     .1339357   
.2629544
     dummysec1 |  -.2389516   .1515584    -1.58   0.115    -.5360007   
.0580975
     dummysec2 |  -.1867943   .1518865    -1.23   0.219    -.4844863   
.1108977
     dummysec3 |  -.4278744   .1681018    -2.55   0.011    -.7573478   
-.098401
     dummysec4 |  -.3165274    .157684    -2.01   0.045    -.6255823  
-.0074725
     dummysec5 |  -.1945854   .1701904    -1.14   0.253    -.5281524   
.1389816
     dummysec6 |  -.3411836   .1876766    -1.82   0.069     -.709023   
.0266558
     dummysec7 |  -.3226429   .1677384    -1.92   0.054     -.651404   
.0061182
     dummysec8 |   .1094814   .2277545     0.48   0.631    -.3369093   
.5558721
     dummysec9 |  -.2062024   .1605089    -1.28   0.199    -.5207941   
.1083893
    dummysec10 |  -.2381757   .1661139    -1.43   0.152    -.5637531   
.0874016
    dummysec11 |  -.2622814   .2081309    -1.26   0.208    -.6702105   
.1456477
    dummysec12 |  -.7878382   .1517089    -5.19   0.000    -1.085182  
-.4904943
    dummysec13 |  -.3522726   .1678885    -2.10   0.036    -.6813279  
-.0232172
    dummysec14 |  -.0661616   .1527514    -0.43   0.665    -.3655488   
.2332255
    dummysec15 |  -.1730415   .1460919    -1.18   0.236    -.4593764   
.1132933
    dummysec16 |  -.3553452   .1616354    -2.20   0.028    -.6721447  
-.0385457
    dummysec17 |  -.8712897   .1592536    -5.47   0.000    -1.183421  
-.5591584
    dummysec18 |          0  (omitted)
 dummycountry1 |  -.9958689   .2308262    -4.31   0.000     -1.44828  
-.5434578
 dummycountry2 |    .148311   .2040108     0.73   0.467    -.2515427   
.5481647
 dummycountry3 |  -.7225869   .2001102    -3.61   0.000    -1.114796  
-.3303782
 dummycountry4 |  -.3920646   .1965872    -1.99   0.046    -.7773684  
-.0067608
 dummycountry5 |  -.8806025   .1808386    -4.87   0.000     -1.23504  
-.5261653
 dummycountry6 |    -.30624    .187432    -1.63   0.102    -.6736001   
.0611201
 dummycountry7 |  -1.038392   .1936603    -5.36   0.000     -1.41796  
-.6588251
 dummycountry8 |  -.2388914   .1823388    -1.31   0.190    -.5962688    
.118486
 dummycountry9 |  -.2357354   .1902911    -1.24   0.215    -.6086991   
.1372283
dummycountry10 |  -.6840301   .1928882    -3.55   0.000    -1.062084  
-.3059761
dummycountry11 |  -.3277489   .1918996    -1.71   0.088    -.7038652   
.0483674
dummycountry12 |  -.5434274   .1887301    -2.88   0.004    -.9133315  
-.1735233
dummycountry13 |  -.4139371   .1919193    -2.16   0.031     -.790092  
-.0377822
dummycountry14 |  -.5170694   .1949626    -2.65   0.008     -.899189  
-.1349498
dummycountry15 |  -.3960148   .1936286    -2.05   0.041    -.7755198  
-.0165098
dummycountry16 |  -.4731799   .1919085    -2.47   0.014    -.8493137  
-.0970461
dummycountry17 |  -.1953833   .1923881    -1.02   0.310    -.5724571   
.1816905
dummycountry18 |  -.6470639   .2079569    -3.11   0.002    -1.054652  
-.2394758
dummycountry19 |   .0195694   .1892384     0.10   0.918    -.3513309   
.3904698
dummycountry20 |  -.2873089   .1958224    -1.47   0.142    -.6711137   
.0964958
dummycountry21 |  -.1989027   .1984429    -1.00   0.316    -.5878436   
.1900383
dummycountry22 |  -.3685787   .2028177    -1.82   0.069    -.7660942   
.0289367
dummycountry23 |  -.8501975   .1924701    -4.42   0.000    -1.227432  
-.4729631
dummycountry24 |  -.2558144   .1994218    -1.28   0.200     -.646674   
.1350452
dummycountry25 |   .0587657   .1988078     0.30   0.768    -.3308904   
.4484218
dummycountry26 |  -.4283343   .2026821    -2.11   0.035     -.825584  
-.0310846
dummycountry27 |   -.040276   .1974263    -0.20   0.838    -.4272244   
.3466724
dummycountry28 |  -.8178818   .2064661    -3.96   0.000    -1.222548  
-.4132157
dummycountry29 |  -.4408704   .2133132    -2.07   0.039    -.8589566  
-.0227841
dummycountry30 |          0  (omitted)
         _cons |    .014316   .2313522     0.06   0.951     -.439126    
.467758
--------------------------------------------------------------------------------
Instrumented:  wibe
Instruments:   lnsize age pfo manexp comp export rd finance dummysec1
               dummysec2 dummysec3 dummysec4 dummysec5 dummysec6 dummysec7
               dummysec8 dummysec9 dummysec10 dummysec11 dummysec12
dummysec13
               dummysec14 dummysec15 dummysec16 dummysec17 dummycountry1
               dummycountry2 dummycountry3 dummycountry4 dummycountry5
               dummycountry6 dummycountry7 dummycountry8 dummycountry9
               dummycountry10 dummycountry11 dummycountry12 dummycountry13
               dummycountry14 dummycountry15 dummycountry16 dummycountry17
               dummycountry18 dummycountry19 dummycountry20 dummycountry21
               dummycountry22 dummycountry23 dummycountry24 dummycountry25
               dummycountry26 dummycountry27 dummycountry28 dummycountry29
               wibe_src12
--------------------------------------------------------------------------------
Wald test of exogeneity:     chi2(1) =     5.07           Prob > chi2 =
0.0244

. overid, all
o. operator not allowed
r(101);

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