st: Re: Question on xthtaylor

["Rodrigo A. Alfaro" <raalfaroa@gmail.com>]

///
Hi Roy,

You can produce HT estimator "by hand". Following the steps in the manual.
HT estimator is a FGLS estimation of the RE model, then a directly robust
estandard error cannot be computed as in -xtreg, re- (see Example  below)

However, the R2 can be computed for the last IV-regression. The properties
of that R2 are the same as in any IV estimation. In other words, use it for
reference only. Nick's suggestion (Pseudo-R2) is an interesting short cut, 
but I am not sure if it is applicable. Probably depends on how strong are
the instruments.  
Finally, "by hand" you could use any test of over-identification that is 
applicable to IV estimators.

Rodrigo.


/***************** Example  ****************************/
/// Setting
qui {
webuse psidextract, clear
local tv "lwage wks south smsa ms exp exp2 occ ind union"
local ti "fem blk ed"
keep `tv' `ti' id t
sort id t
tsset id t
foreach i of varlist `tv' {
by id: egen double `i'_m=mean(`i')
gen double `i'_dm = `i'-`i'_m
}

/// First step
reg lwage_dm wks_dm south_dm smsa_dm ms_dm exp_dm exp2_dm ///
occ_dm ind_dm union_dm, noc
sca sig_e2=e(rss)/3570
mat beta=e(b)
mat colnames beta = wks_m south_m smsa_m ms_m exp_m exp2_m ///
occ_m ind_m union_m
mat score double xbm_w = beta
gen double di = lwage_m - xbm_w
mat colnames beta = wks south smsa ms exp exp2 occ ind union
mat score double xb_w = beta

/// Second step
reg di fem blk ed (wks south smsa ms fem blk)
predict double zg, xb
reg di fem blk ed (wks_m south_m smsa_m ms_m fem blk) if t==7
predict double zg2, xb

/// Error and theta
g double fit1=lwage - xb_w - zg2
by id: gen double fit2=sum(fit1)
by id: replace fit2=(fit2[_N]/7)^2
sum fit2, meanonly
sca s2=r(sum)/595
sca sig_u2=(s2-sig_e2)/7
gen double theta=1-sqrt(sig_e2/(sig_e2+7*sig_u2))

/// GLS
foreach i of varlist `tv' {
gen double `i'_g=`i'-theta*`i'_m
}
foreach i of varlist `ti' {
gen double `i'_g=(1-theta)*`i'
}

/// More Instruments (for AM)
foreach i of varlist wks south smsa ms exp exp2 occ ind union {
forvalues k=1/7 {
gen double aux=0
replace aux=`i' if t==`k'
by id: egen double `i'_t`k'=sum(aux)
drop aux
}
}
}

/// Third step
reg lwage_g wks_g south_g smsa_g ms_g exp_g exp2_g ///
occ_g ind_g union_g fem_g blk_g ed_g ///
(*_dm south_m smsa_m occ_m ind_m fem blk)
xthtaylor lwage wks south smsa ms exp exp2 occ ind ///
union fem blk ed, endog(wks ms exp exp2 union ed)
reg lwage_g wks_g south_g smsa_g ms_g exp_g exp2_g ///
occ_g ind_g union_g fem_g blk_g ed_g ///
(*_dm south_t* smsa_t* occ_t* ind_t* fem blk) 
xthtaylor lwage wks south smsa ms exp exp2 occ ind ///
union fem blk ed, endog(wks ms exp exp2 union ed) am

/***************** End Example *************************/


----- Original Message ----- 
From: "Roy,Suryadipta" <suryadipta.roy@lawrence.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, July 25, 2007 1:44 PM
Subject: st: Question on xthtaylor



> Hi,
>
> There have been a few threads on the first one, but I am 
> still asking the question to find out if there is an 
> easier solution:
>
> 1. Is there a command to obtain robust/ cluster(robust) 
> standard errors while using xthtaylor (as in xtreg, fe or 
> xtreg, re)?
>
> 2. Is there a command to obtain R-square while using 
> xthtaylor?
>
> 3. Moreover, after I run xthtaylor, I am trying to do the 
> overidentifiaction test with -xtoverid- but I am getting 
> an error message : "invalid name". I only have 
> time-varying variables as endogenous variables.
>
> Any comment on these issues would be really helpful.
> Thanks as usual!
> Suryadipta.
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