st: re: error message with xtivreg2

[Kit Baum <baum@bc.edu>]

Ifigenia wonders about:


. xtivreg invest (mvalue = kstock year),re

G2SLS random-effects IV regression              Number of obs       
=       200
Group variable: company                         Number of groups    
=        10

R-sq:  within  = 0.3707                         Obs per group: min  
=        20
       between = 0.8572                                        avg  
=      20.0
       overall = 0.7343                                        max  
=        20

                                                Wald chi2(1)        
=     80.40
corr(u_i, X)       = 0 (assumed)                Prob > chi2         
=    0.0000

------------------------------------------------------------------------ 
------
      invest |      Coef.   Std. Err.      z    P>|z|     [95% Conf.  
Interval]
------------- 
+----------------------------------------------------------------
      mvalue |   .3270743   .0364773     8.97   0.000     . 
2555801    .3985686
       _cons |  -207.8319   45.17103    -4.60   0.000    -296.3655    
-119.2983
------------- 
+----------------------------------------------------------------
     sigma_u |  67.899792
     sigma_e |  188.20021
         rho |  .11517403   (fraction of variance due to u_i)
------------------------------------------------------------------------ 
------
Instrumented:   mvalue
Instruments:     kstock year
------------------------------------------------------------------------ 
------

. xtoverid,noi

Unable to display summary of first-stage estimates; macro e(first) is  
missing

IV (2SLS) estimation
--------------------

Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only

                                                      Number of obs  
=      200
                                                      F(  2,   198)  
=    62.23
                                                      Prob > F       
=   0.0000
Total (centered) SS     =  4219087.206                Centered R2    
=  -0.2596
Total (uncentered) SS   =  5401543.484                Uncentered R2  
=   0.0161
Residual SS             =  5314491.289                Root MSE       
=      163

------------------------------------------------------------------------ 
------
    __00000G |      Coef.   Std. Err.      z    P>|z|     [95% Conf.  
Interval]
------------- 
+----------------------------------------------------------------
    __00000I |   .3270743   .0362945     9.01   0.000     . 
2559385    .3982102
    __00000E |  -207.8319   44.94461    -4.62   0.000    -295.9217    
-119.7421
------------------------------------------------------------------------ 
------
Sargan statistic (overidentification test of all  
instruments):           3.208
                                                   Chi-sq(1) P-val  
=    0.0733
------------------------------------------------------------------------ 
------
Instrumented:         __00000I
Included instruments: __00000E
Excluded instruments: __00000L __00000O
------------------------------------------------------------------------ 
------

Test of overidentifying restrictions:
Cross-section time-series model: xtivreg g2sls
Sargan-Hansen statistic   3.208  Chi-sq(1)    P-value = 0.0733


Ignore the error message. As Mark's message indicates you cannot see  
the first stage regression estimates (which would be in e(first)) but  
you are provided with the overidentification test at the foot of the  
output.

At this point xtivreg2 only estimates fe and fd models. It does not  
estimate random effects models.

Kit


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


*
*   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/