Seema,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Seema Bhatia
> Sent: 02 August 2007 16:18
> To: [email protected]
> Subject: Re: st: Using 2 stage Heckmen Sample Selection with
> Lags in STATA
>
> Dear Austin
<snip>
> As far as the Hausman test goes, I used the same model that I
> intend to use in my analysis (bilateral trade as a function
> of gdps, populations, distance, contiguity, membership of
> agreements, infrastructure indices etc) and tested for fixed
> effects, then random effects. therefore
>
> xtreg dependentvar independentvar1 independentvar2
> independentvar3 ... , fe then xtreg dependentvar
> independentvar1 independentvar2 independentvar3 ... , re
>
> having stored both these, i went on to do the hausman test
> and got an insignificant P-value, therefore justifying the
> use of random effects model.
FYI, xtoverid, available from ssc-ideas in the usual way, will do
heteroskedastic and/or cluster-robust Hausman-type tests afer xtreg.
Cheers,
Mark
>
> Am not familiar with the ssc inst mim or a lot of statistical
> jargon to be honest so wouldn't have a clue!
>
> thanks
>
> seema
>
>
> > Seema--
> > I am not familiar with the "standard gravity model" though
> I suspect
> > it models trade as a function of the reciprocal of the square of
> > distance along an ellipsoid between the centroids of two countries,
> > among other things. This seems inappropriate for various reasons
> > (even if using production- or population-weighted centroids, the
> > relevant distance is not as the crow flies--e.g. contiguity
> is likely
> > more important, as are topographical features, and historical
> > relationships/religion/language/etc. even more important) though if
> > the model is "standard" I suppose am unlikely to talk you out of it.
> >
> > For the missing data, have you considered multiple imputation (-ssc
> > inst mim- etc.)? Is the pattern of missing data nonrandom
> according
> > to some functional relationship you know something about, or do you
> > characterize as nonrandom because some countries have more missings
> > than others? Note that -mim- supports -xtpoisson- among other
> > commands.
> >
> > In what sense does a Hausman test require you to use a
> random effects
> > model? What were your commands and output for the Hausman
> test? Note
> > also you may want a Hausman test robust to serial correlation:
> > http://www.stata.com/statalist/archive/2004-08/msg00548.html
> > though if you are focusing on sub-Saharan Africa you may not have
> > enough countries to claim a cluster-robust estimator is justified
> > (asymptotic in number of clusters; 50 clusters is enough for most
> > purposes).
> >
> > It seems to me that the endogeneity issue is bigger than
> the missing
> > data or specification issues. Countries that trade more
> will produce
> > more output, etc. This is an even bigger problem in a dynamic
> > setting--how do empirical studies on trade deal with this?
> Perhaps you
> > need -xtivreg2- (ssc inst xtivreg2) and some valid instruments?
> >
> > On 8/2/07, Seema Bhatia <[email protected]> wrote:
> >> Hi Austin
> >>
> >> Thanks for your input.
> >>
> >> In my case, bilateral trade between a country pair (Xij)
> is measured
> >> as import value (CIF import values in US$ deflated by the
> appropriate
> >> price
> >> deflator) i.e. exports from country j are imports into
> country i as
> >> it is done in a standard gravity model. this bilateral
> trade in sub
> >> Saharan Africa is being modelled as a function of gdps,
> populations,
> >> distance, landlockedness, contiguity, some calculated
> infrastructure
> >> indices and regional trade groups etc. in order to study
> the impact
> >> of trade agreements within the region.
> >>
> >> In terms of the missing data, I am lucky to have data for a lot of
> >> the country pairs since these are all in Sub Saharan Africa where
> >> data is a huge issue, particularly those that are war torn
> and in the
> >> early years of my analysis (1985-1994). I have scouted all
> possible
> >> datasources and compiled the import values where missing.
> >>
> >> There are two issues with the missing data. There are both
> zeroes or
> >> no data available for several country pairs over the
> years. Since my
> >> major data source has made that distinction specifically, I have
> >> decided that zero will be an answer (meaning there was zero trade)
> >> while I still need to account for the missing values/not reported
> >> (meaning we dont know if there was trade or not) data -
> the pattern
> >> for this is non random which is why I am keen on using a sample
> >> selection bias correction method to account for it.
> >>
> >> A Hausman test has also revealed that I am required to fit
> a random
> >> effects model for my analysis. So I was hoping that I
> could do this
> >> within the Panel-Heckman setting. Am exploring gllamm at
> the moment
> >> but am still quite unclear on how to go about it as
> econometrics is
> >> not really my forte.
> >>
> >> Please let me know if I have given you enough details here, as a
> >> typical PhD wannabe, I usually tend to think everyone
> knows what i am
> >> talking about.
> >>
> >> Many thanks
> >>
> >> Seema
> >>
> >>> Seema--
> >>> I think I already answered the question about the
> -heckman- approach
> >>> likely being hard in your panel data, or perhaps
> impossible without
> >>> a significant investment in learning -gllamm- on your part, or
> >>> perhaps writing new routines. But I still don't see necessary
> >>> detail in your description of the data--how are you
> measuring trade?
> >>> Volume of
> >>> exports+imports? Net exports? Indicator for any trade
> at all? Why
> >>> exports+is
> >>> there missing data as opposed to just zeros for your LHS var? If
> >>> you've got trade measured as a strictly positive variable and
> >>> missings where no trade exists, then you can replace trade=0 if
> >>> mi(trade) and run xtpoisson with country pair fixed
> effects, right?
> >>>
> > *
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> >
>
> *
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