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| From | Sorin Krammer <sorin.krammer@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| 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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