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RE: st: RE: Question on xthtaylor
Just to close part of this thread, it turns out that Suryadipta found a
bug in -xtoverid-, namely it crashed after estimation using -xthtaylor-
with empty varlists (e.g., estimation no time-invariant endogenous
variables). I've fixed the bug, and the new version of -xtoverid- is
available from ssc-ideas, with thanks as usual to Kit Baum.
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Roy,Suryadipta
> Sent: 26 July 2007 15:51
> To: [email protected]
> Subject: Re: st: RE: Question on xthtaylor
>
> Dear Mark,
>
> I tried out the regression with the year dummies introduced
> by hand, but the problem with -xtoverid- still persists. I
> have emailed you my dataset-- hope you have received it.
>
> Thanks (everyone) for your help!
> Suryadipta.
>
>
> On Thu, 26 Jul 2007 08:32:13 +0100
> "Schaffer, Mark E" <[email protected]> wrote:
> > 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:
> > * 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
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* http://www.ats.ucla.edu/stat/stata/