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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); * * 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/