Talking of -glm-, as I have been for most of this week, I've come across a
frustrating error when attempting to fit one of my own models.
Essentially, I'm trying to get -glm- to fit OLS Newey-West models with
automatically logit-transformed estimates, which -help glm- implies that
it can do.
I've recreated the problem using one of Stata 9's toy datasets. Below,
-unemp- is the unemployment rate, -region- is a continuous variable with
no upper limit:
. tsset state year
panel variable: state (strongly balanced)
time variable: year, 1970 to 1986
. glm unemp state public, link(logit) vce(hac nwest 1) t(year) robust eform
repeated time values in sample
r(451);
It fails miserably. Deleting -robust- makes no difference; the -t()-
option must be specified as -vce(hac ...)- is also specified, as per -help
glm-. But I don't know why it fails, because when I use
Baum/Schaffer/Stillman's -ivreg2-, from SSC, to fit pretty much the same
model:
. g logunemp=ln((unemp/100)/(1-(unemp/100)))
. ivreg2 logunemp state public, bw(2) robust small eform(OR)
OLS estimation
--------------
Statistics robust to heteroskedasticity and autocorrelation
kernel=Bartlett; bandwidth=2
time variable (t): year
group variable (i): state
Number of obs = 816
F( 2, 813) = 20.14
Prob > F = 0.0000
Total (centered) SS = 102.2836463 Centered R2 = 0.0434
Total (uncentered) SS = 6067.674132 Uncentered R2 = 0.9839
Residual SS = 97.8449067 Root MSE = .3469
----------------------------------------------------------------------------
| Robust
logunemp | OR Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
state | .9987938 .0011866 -1.02 0.310 .9964672 1.001126
public | 1.000003 4.15e-07 6.11 0.000 1.000002 1.000003
----------------------------------------------------------------------------
Included instruments: state public
----------------------------------------------------------------------------
Now how is it that -ivreg2- can fit pretty much the same model as I've
asked -glm- to, and yet -glm- chokes?
Answers, please!
CLIVE NICHOLAS |t: 0(044)7903 397793
Politics |e: [email protected]
Newcastle University |http://www.ncl.ac.uk/geps
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