I had a similar problem the other day.
I was using ivreg and ivreg7, but what worked for me was the
post-estimation command ivendog
You may want to try that.
xtivreg loda_pc lgdp_pc_d lpop trade_gdp polityp us_un_friend_p
japan_un_friend_p Pperiod* y_colony (corrupt=ethnic), re
ivendog
Hope this helps
Tinna
On 9/18/05, Joana Quina <[email protected]> wrote:
> Dear all,
>
> I am using xtivreg to estimate a random effects panel data model. I
> have one endogenous variable and one excluded instrument. In order to
> test for endogeneity, I am using the Hausman test with the sigmamore
> option. When I do this, the Hausman test says that V_b-V_B is not
> positive definite.
>
> I would like to know your thoughts on the following:
> 1- What can be done to correct this?
> 2- Is there an "xtivreg2"?
>
> Thank you for your help,
>
> Joana
>
> I enclose the output:
>
> -------------output-----------------------
> . xtivreg loda_pc lgdp_pc_d lpop trade_gdp polityp us_un_friend_p
> japan_un_friend_p Pperiod*
> > y_colony (corrupt=ethnic), re
>
> G2SLS random-effects IV regression Number of obs = 111
> Group variable: id Number of groups = 31
>
> R-sq: within = 0.5063 Obs per group: min = 1
> between = 0.6333 avg = 3.6
> overall = 0.6213 max = 4
>
> Wald chi2(11) = 113.34
> corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
>
> ------------------------------------------------------------------------------
> loda_pc | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> corrupt | -.0429657 .1066427 -0.40 0.687 -.2519815 .1660502
> lgdp_pc_d | .0428328 .1272094 0.34 0.736 -.2064931 .2921586
> lpop | -.510157 .104499 -4.88 0.000 -.7149711 -.3053428
> trade_gdp | .0053404 .0024281 2.20 0.028 .0005813 .0100994
> polityp | .0140851 .0081874 1.72 0.085 -.0019619 .0301322
> us_un_frie~p | -.5324777 .4733456 -1.12 0.261 -1.460218 .3952627
> japan_un_f~p | 2.920518 .8081029 3.61 0.000 1.336666 4.504371
> Pperiod_1 | .4201038 .2109389 1.99 0.046 .0066712 .8335365
> Pperiod_2 | .0078534 .1087593 0.07 0.942 -.2053109 .2210178
> Pperiod_4 | -.2225596 .2035832 -1.09 0.274 -.6215754 .1764562
> y_colony | .0006514 .0069568 0.09 0.925 -.0129837 .0142864
> _cons | -.8395967 1.498147 -0.56 0.575 -3.775911 2.096718
> -------------+----------------------------------------------------------------
> sigma_u | .58004628
> sigma_e | .28688419
> rho | .80345955 (fraction of variance due to u_i)
> ------------------------------------------------------------------------------
> Instrumented: corrupt
> Instruments: lgdp_pc_d lpop trade_gdp polityp us_un_friend_p
> japan_un_friend_p Pperiod_1
> Pperiod_2 Pperiod_4 y_colony ethnic
>
> . est store ivrandom
>
> . xtreg loda_pc lgdp_pc_d lpop trade_gdp polityp us_un_friend_p
> japan_un_friend_p corrupt Pp
> > eriod* y_colony , re
>
> Random-effects GLS regression Number of obs = 111
> Group variable (i): id Number of groups = 31
>
> R-sq: within = 0.5303 Obs per group: min = 1
> between = 0.6426 avg = 3.6
> overall = 0.6435 max = 4
>
> Random effects u_i ~ Gaussian Wald chi2(11) = 128.55
> corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
>
> ------------------------------------------------------------------------------
> loda_pc | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> lgdp_pc_d | .0181293 .1191414 0.15 0.879 -.2153837 .2516422
> lpop | -.5275332 .102472 -5.15 0.000 -.7283747 -.3266917
> trade_gdp | .0048886 .0022066 2.22 0.027 .0005637 .0092135
> polityp | .0143393 .0079024 1.81 0.070 -.0011491 .0298277
> us_un_frie~p | -.4735392 .4488587 -1.05 0.291 -1.353286 .4062077
> japan_un_f~p | 3.167958 .6942995 4.56 0.000 1.807156 4.52876
> corrupt | -.1162393 .033678 -3.45 0.001 -.1822469 -.0502316
> Pperiod_1 | .5098709 .1617323 3.15 0.002 .1928815 .8268603
> Pperiod_2 | .0336761 .0990239 0.34 0.734 -.1604072 .2277594
> Pperiod_4 | -.2379928 .1948569 -1.22 0.222 -.6199053 .1439197
> y_colony | -.0014819 .0065505 -0.23 0.821 -.0143206 .0113568
> _cons | -.5709694 1.406288 -0.41 0.685 -3.327243 2.185304
> -------------+----------------------------------------------------------------
> sigma_u | .57088029
> sigma_e | .26203147
> rho | .82598424 (fraction of variance due to u_i)
> ------------------------------------------------------------------------------
>
> . est store random
>
> . hausman ivrandom random, sigmamore
>
> ---- Coefficients ----
> | (b) (B) (b-B) sqrt(diag(V_b-V_B))
> | ivrandom random Difference S.E.
> -------------+----------------------------------------------------------------
> corrupt | -.0429657 -.1162393 .0732736 .0281962
> lgdp_pc_d | .0428328 .0181293 .0247035 .
> lpop | -.510157 -.5275332 .0173762 .
> trade_gdp | .0053404 .0048886 .0004518 .
> polityp | .0140851 .0143393 -.0002542 .
> us_un_frie~p | -.5324777 -.4735392 -.0589386 .
> japan_un_f~p | 2.920518 3.167958 -.2474397 .
> Pperiod_1 | .4201038 .5098709 -.0897671 .
> Pperiod_2 | .0078534 .0336761 -.0258227 .
> Pperiod_4 | -.2225596 -.2379928 .0154332 .
> y_colony | .0006514 -.0014819 .0021332 .
> ------------------------------------------------------------------------------
> b = consistent under Ho and Ha; obtained from xtivreg
> B = inconsistent under Ha, efficient under Ho; obtained from xtreg
>
> Test: Ho: difference in coefficients not systematic
>
> chi2(11) = (b-B)'[(V_b-V_B)^(-1)](b-B)
> = 6.74
> Prob>chi2 = 0.8201
> (V_b-V_B is not positive definite)
>
> -------
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
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