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RE: st: RE: Question on xthtaylor
Suryadipta, Rodrigo,
The way -xthtaylor- works is by transforming/creating variables, and
then using -regress- to estimate the transformed equation. This
equation uses IV estimation.
The way -xtoverid- works is by doing the same transformation and then
using -ivreg2- to estimate it. This generates a Sargan-Hansen overid
stat that is reported by -xtoverid-. There's also an internal check
that the transformed regression results from -ivreg2- are the same as
those reported by the original -xthtaylor- estimation.
Calling -xtoverid- with the undocumented -noisily- option will cause it
to report this internal -ivreg2- estimation. Suryadipta, if you do this
and -xtoverid- gets this far, you might be able to tell what's wrong or
get the overid stat from the output.
I suspect that what is causing the problem is the collinearity of yr1:
it gets dropped by -xthtaylor-, and this may be causing -xtoverid- to
get confused. Omitting it from the estimation by hand may solve the
problem.
In any case, Suryadipta, if you can send me your dataset offlist so I
can reproduce the problem, I can fix the xtoverid bug.
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Roy,Suryadipta
> Sent: 26 July 2007 00:42
> To: [email protected]
> Subject: Re: st: RE: Question on xthtaylor
>
> Dear Nick, Rodrigo, and Mark,
>
> Thank you very much indeed for your suggestions- I shall
> closely follow what Nick and Rodrigo had suggested as regards
> the R-sq and the robust standard errors. Meanwhile here is
> the output from -xthtaylor-, followed by
> -xtoverid- :
>
> xthtaylor rhat2 corrupt x1 loggdp yr* logpopulat island
> landlocked, endog(corrupt x1 loggdp)
> note: yr1 dropped due to collinearity
> Hausman-Taylor estimation Number of
> obs = 1712
> Group variable (i): id Number of
> groups = 121
> Obs per
> group: min = 1
>
> avg = 14.1
>
> max = 16
> Random effects u_i ~ i.i.d. Wald
> chi2(21) = 45.12
> Prob >
> chi2 = 0.0017
> --------------------------------------------------------------
> ----------------
> rhat2 | Coef. Std. Err. z P>|z|
> [95% Conf. Interval]
> -------------+------------------------------------------------
> ----------
> -------------+------
> TVexogenous |
> yr2 | .0035842 .0310919 0.12 0.908
> -.0573547 .0645231
> yr3 | .0281418 .0301447 0.93 0.351
> -.0309406 .0872243
> yr4 | .0379859 .029738 1.28 0.201
> -.0202995 .0962714
> yr5 | .0256643 .0296197 0.87 0.386
> -.0323892 .0837178
> yr6 | .0244164 .0298725 0.82 0.414
> -.0341325 .0829654
> yr7 | .0182896 .0302195 0.61 0.545
> -.0409396 .0775188
> yr8 | .017861 .030464 0.59 0.558
> -.0418472 .0775693
> yr9 | .0058436 .0305084 0.19 0.848
> -.0539517 .0656389
> yr10 | .0217139 .0307479 0.71 0.480
> -.0385508 .0819786
> yr11 | .0236914 .0310368 0.76 0.445
> -.0371396 .0845224
> yr12 | -.0067792 .0313415 -0.22 0.829
> -.0682073 .0546489
> yr13 | -.0104486 .0317474 -0.33 0.742
> -.0726723 .0517751
> yr14 | -.0093062 .0322576 -0.29 0.773
> -.0725299 .0539175
> yr15 | -.0097496 .0326688 -0.30 0.765
> -.0737793 .0542801
> yr16 | -.0071128 .0332515 -0.21 0.831
> -.0722844 .0580589
> logpopulat | -.0630136 .0467928 -1.35 0.178
> -.1547258 .0286985
> TVendogenous |
> corrupt | -.231095 .0438374 -5.27 0.000
> -.3170147 -.1451753
> x1 | .0316134 .0058632 5.39 0.000
> .0201217 .0431051
> loggdp | -.0366722 .0434294 -0.84 0.398
> -.1217922 .0484478
> TIexogenous |
> island | -.0773091 .262035 -0.30 0.768
> -.5908883 .4362701
> landlocked | .0981921 .2297618 0.43 0.669
> -.3521327 .5485169
> |
> _cons | 1.175497 .9099886 1.29 0.196
> -.6080481 2.959042
> -------------+------------------------------------------------
> ----------
> -------------+------
> sigma_u | .88297205
> sigma_e | .20390525
> rho | .94937106 (fraction of variance due to
> u_i)
> --------------------------------------------------------------
> ----------------
> note: TV refers to time varying; TI refers to time invariant.
> .
> . xtoverid
> . invalid name
> r(198);
> I am using Stata 9 and regularly update all the codes from
> ssc. -xtoverid- ran alright when I used the example from
> stata (using xtoverid.hlp).
>
> Thanks again for your invaluable inputs!
>
> Suryadipta.
>
>
>
>
> On Wed, 25 Jul 2007 22:40:40 +0100
> "Schaffer, Mark E" <[email protected]> wrote:
> > Suryadipta,
> >
> >> -----Original Message-----
> >> From: [email protected]
> >> [mailto:[email protected]] On Behalf Of
> >>Roy,Suryadipta
> >> Sent: 25 July 2007 18:44
> >> To: [email protected]
> >> 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: [email protected]
> > web: http://www.sml.hw.ac.uk/ecomes
> >
> >
> >>
> >> Any comment on these issues would be really helpful.
> >> Thanks as usual!
> >> Suryadipta.
> >> *
> >> * 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/
> >>
> >
> > *
> > * 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/
>
>
> *
> * 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/
>
*
* For searches and help try:
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