Dear Mark,
Interesting points, thanks for your insights. It seems quite hard to get the -xtoverid, noisily- command to produce intelligible variable names. I followed your advice and created the lagged variables "by hand", and reran -xthtaylor- using these variables, and the temporary variables of -xtoverid, noi- still didn't resemble the vars in my model. Then, to narrow things down, I generated the two endogenous vars, which happen to be lagged variables, using very short names for them, and still no luck. Specifically, the two endog vars are L.rev_EXT and L.rev_IGF_3avg. I named them ex and ig respectively, and reran. The endogenous var that's being reclassified as exogenous still has a nondescript temporary name __000019, as opposed to something resembling "ex" or "ig". I'm suspecting the problem child is the endogenous variable L.rev_IGF_3avg (ie a LDV), and not L.rev_EXT. Because when I run the regression with only the latter being endog, xtoverid works
fine. When I run it with only the former being endog, xtoverid gives the error message we're talking about.
If indeed L.rev_IGF_3avg is perfectly collinear with some combination of the remaining variables, and if (as you're suspecting) xthtaylor somehow ignores that fact, at least for sure a standard OLS should drop one or more variables in the presence of perfect collinearity, right? But when I do a simple -regress- on all the variables in this model, nothing drops out (I can send you the output on that). Does that not rule out perfect collinearity being the cause of the xtoverid problem? Is xtoverid sensitive to strong (but non-perfect) collinearity?
Please see the output below for details on my above described effort with the two endog vars renamed "ex" and "ig". I would very much appreciate any further thoughts you may have on this mystery.
Thanks,
Hewan
.. g ex = L.rev_EXT
(265 missing values generated)
.. g ig = L.rev_IGF_3avg
(440 missing values generated)
.. xthtaylor rev_IGF_3avg popurb_share popdens pop p0 rain_av road_no literate rel_christ *akan *ewe ex ig L.(ex
> p_pers_act exp_NPR exp_cap_act) dumreg1-dumreg7 dumreg9-dumreg10, endog(ex ig) varying(ex ig L.(exp_pers_act
> exp_NPR exp_cap_act))
Hausman-Taylor estimation Number of obs = 699
Group variable: code Number of groups = 106
Obs per group: min = 5
avg = 6.6
max = 7
Random effects u_i ~ i.i.d. Wald chi2(24) = 5417.96
Prob > chi2 = 0.0000
rev_IGF_3avg Coef. Std. Err. z P>z [95% Conf. Interval]
TVexogenous
exp_pers_act
L1. .0788914 .0169636 4.65 0.000 .0456433 .1121394
exp_NPR
L1. .1992826 .0252538 7.89 0.000 .1497861 .248779
exp_cap_act
L1. -.0038548 .0113339 -0.34 0.734 -.0260688 .0183592
TVendogenous
ex .0068097 .0148884 0.46 0.647 -.0223711 .0359905
ig .6608472 .0284122 23.26 0.000 .6051602 .7165341
TIexogenous
popurb_share .0011771 .000573 2.05 0.040 .0000541 .0023002
popdens -.0001731 .0000585 -2.96 0.003 -.0002877 -.0000584
pop .0001918 .0001302 1.47 0.141 -.0000633 .0004469
p0 -.3915243 .1268809 -3.09 0.002 -.6402062 -.1428423
rain_av .0000586 .0000765 0.77 0.444 -.0000913 .0002086
road_no -.0120262 .0741182 -0.16 0.871 -.1572952 .1332429
literate .0035863 .0017501 2.05 0.040 .0001562 .0070164
rel_christ -.0016295 .0012886 -1.26 0.206 -.0041552 .0008962
ethn_akan -.0008522 .0006921 -1.23 0.218 -.0022086 .0005043
ethn_ewe .0004666 .0008781 0.53 0.595 -.0012544 .0021877
dumreg1 .0913287 .0850729 1.07 0.283 -.0754111 .2580684
dumreg2 -.0432531 .0780054 -0.55 0.579 -.1961408 .1096345
dumreg3 .0388221 .0882678 0.44 0.660 -.1341796 .2118237
dumreg4 -.0929884 .0735551 -1.26 0.206 -.2371536 .0511769
dumreg5 -.0559623 .0740561 -0.76 0.450 -.2011097 .0891851
dumreg6 .0299387 .0740921 0.40 0.686 -.1152792 .1751566
dumreg7 -.044829 .0717926 -0.62 0.532 -.1855399 .0958819
dumreg9 .1245367 .059701 2.09 0.037 .0075249 .2415485
dumreg10 .1489092 .062665 2.38 0.017 .0260881 .2717303
_cons .5605179 .2319658 2.42 0.016 .1058733 1.015162
sigma_u .01675734
sigma_e .21148494
rho .00623926 (fraction of variance due to u_i)
Note: TV refers to time varying; TI refers to time invariant.
.. xtoverid, noisily
Warning - endogenous variable(s) collinear with instruments
Vars now exogenous: __000019
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 = 699
F( 25, 674) = 34571.80
Prob > F = 0.0000
Total (centered) SS = 292.3090099 Centered R2 = 0.8935
Total (uncentered) SS = 39947.58709 Uncentered R2 = 0.9992
Residual SS = 31.11655374 Root MSE = .2149
__00000I Coef. Std. Err. t P>t [95% Conf. Interval]
__00000M .0788883 .0169636 4.65 0.000 .0455804 .1121962
__00000P .1992816 .0252538 7.89 0.000 .149696 .2488672
__00000S -.0038579 .0113339 -0.34 0.734 -.0261119 .018396
__00000V .006814 .0148884 0.46 0.647 -.0224193 .0360473
__00000Y .660834 .0284121 23.26 0.000 .6050471 .7166208
__00000Z .0011771 .000573 2.05 0.040 .000052 .0023022
__000010 -.000173 .0000585 -2.96 0.003 -.0002879 -.0000582
__000011 .0001918 .0001302 1.47 0.141 -.0000638 .0004474
__000012 -.3915953 .1268798 -3.09 0.002 -.6407224 -.1424682
__000013 .0000586 .0000765 0.77 0.444 -.0000916 .0002088
__000014 -.0120329 .0741184 -0.16 0.871 -.1575636 .1334978
__000015 .0035862 .0017501 2.05 0.041 .0001499 .0070224
__000016 -.0016296 .0012886 -1.26 0.206 -.0041598 .0009007
__000017 -.0008521 .0006921 -1.23 0.219 -.002211 .0005068
__000018 .0004667 .0008781 0.53 0.595 -.0012575 .0021908
__00001A -.0432515 .0780055 -0.55 0.579 -.1964146 .1099115
__00001B .03883 .0882679 0.44 0.660 -.1344831 .2121432
__00001C -.0929823 .0735552 -1.26 0.207 -.2374072 .0514425
__00001D -.0559592 .0740563 -0.76 0.450 -.201368 .0894496
__00001E .0299385 .0740923 0.40 0.686 -.1155409 .175418
__00001F -.0448234 .0717927 -0.62 0.533 -.1857877 .0961408
__00001G .124552 .059701 2.09 0.037 .0073298 .2417743
__00001H .1489231 .062665 2.38 0.018 .025881 .2719652
__00000H .5606982 .2319614 2.42 0.016 .1052443 1.016152
__000019 .0913319 .085073 1.07 0.283 -.0757082 .2583719
Sargan statistic (overidentification test of all instruments): 9.249
Chi-sq(4) P-val = 0.0552
Instrumented: __00000M __00000P __00000S __00000V __00000Y __00000Z
__000010 __000011 __000012 __000013 __000014 __000015
__000016 __000017 __000018 __000019 __00001A __00001B
__00001C __00001D __00001E __00001F __00001G __00001H
Included instruments: __00000H
Excluded instruments: __00000L __00000O __00000R __00000U __00000X __00000K
__00000N __00000Q popurb_share popdens pop p0 rain_av
road_no literate rel_christ ethn_akan ethn_ewe dumreg1
dumreg2 dumreg3 dumreg4 dumreg5 dumreg6 dumreg7 dumreg9
dumreg10
Reclassified as exog: __000019
xtoverid error: internal reestimation of eqn differs from original
r(198);
end of do-file
r(198);
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