Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
| From | Ivan Png <iplpng@gmail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: RE: RE: xtivreg2 -- Instruments dropped |
| Date | Sun, 16 Jan 2011 11:25:26 +0800 |
Sorry, Mark. I've updated the data-set. On Sat, Jan 15, 2011 at 10:29 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote: > Ivan, > > I had the same problem as Eric. And there must be something else wrong, since there's only one instrument listed (L.govr_r) and you refer to "instruments". > IP: I meant instruments -- in the sense that I used different instruments in various specifications, and each one was dropped. > Did xtivreg2 report collinearities among your instruments as a reason for dropping some? Did xtivreg? If so, were the dropped variables the same? IP; Neither reported collinearities. > You might also want to compare the first-stage regressions of xtivreg2 and xtivreg. > > Oh, and tell us which versions of xtivreg2, xtivreg and Stata you are using. IP: Stata/IC 10.1. Sorry, please advise how to identify version of xtivreg2 and xtivreg > --Mark > >> -----Original Message----- >> From: owner-statalist@hsphsun2.harvard.edu >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of DE >> SOUZA Eric >> Sent: 15 January 2011 12:02 >> To: statalist@hsphsun2.harvard.edu >> Subject: st: RE: xtivreg2 -- Instruments dropped >> >> Check the instruction you have posted: >> govr_r does not exist >> >> >> >> Eric de Souza >> College of Europe >> Brugge (Bruges), Belgium >> http://www.coleurope.eu >> >> >> -----Original Message----- >> From: owner-statalist@hsphsun2.harvard.edu >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Ivan Png >> Sent: 15 January 2011 12:43 >> To: statalist@hsphsun2.harvard.edu >> Subject: st: xtivreg2 -- Instruments dropped >> >> Dear Stata-list: >> >> I'm having difficulty with xtivreg2 >> >> Each time, the system drops the instruments for the variable L.utsa. >> utsa is a state-time variable that varies across states and >> times. I checked the instruments: they are state- and >> time-varying. I don't understand why the system drops the >> instruments. (I tried xtivreg and it works, but I would like >> to use xtivreg2 so that I can get cluster standard errors and >> the diagnostics for weak instruments). >> >> >> Please help. Many thanks! >> >> Data-set: >> http://www.comp.nus.edu.sg/~ipng/research/company_wrkg.dta >> >> >> Code: >> . xtset gvkey year >> >> . xi: xtivreg2 xrdr_ln revtr_ln mktbook_mm ebitdar_ln taxcred /// >> (L.utsa = L.govr_r) i.year trend_AL - trend_WY /// >> if xrdr_count >= 6 , fe cluster(state_sic) >> >> >> >> >> -- >> Ivan Png >> National U of Singapore >> >> >> >> >> -- >> Skype: ipng00 >> T: +65 6516 6807 >> >> >> >> -- >> Skype: ipng00 >> T: +65 6516 6807 >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/statalist/faq >> * http://www.ats.ucla.edu/stat/stata/ >> > > > -- > Heriot-Watt University is a Scottish charity > registered under charity number SC000278. > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Skype: ipng00 T: +65 6516 6807 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/