st: Re: RE: Question on xthtaylor

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

Mark,

I don't think that one can run directly an overidentification test after HT 
procedure. The model is estimated in transformed variables, then "by hand" 
it will be more clear to apply any test.

Rodrigo.



----- Original Message ----- 
From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, July 25, 2007 5:40 PM
Subject: st: RE: Question on xthtaylor



> Suryadipta,
>
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
> > Roy,Suryadipta
> > Sent: 25 July 2007 18:44
> > To: statalist@hsphsun2.harvard.edu
> > 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.
> It's impossible to tell what's going wrong with just the information
> you've provided.  Can you post the estimation results and xtoverid
> output, plus the versions of xthtaylor and xtoverid?  Then maybe we can
> tell if it's a problem with your estimation, xthtaylor, or xtoverid.
>
> --Mark
>
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS
> tel +44-131-451-3494 / fax +44-131-451-3296
> email: m.e.schaffer@hw.ac.uk
> web: http://www.sml.hw.ac.uk/ecomes
>
>
> > Any comment on these issues would be really helpful.
> > Thanks as usual!
> > Suryadipta.
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