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RE: st: RE: RE: xtivreg2 -- Instruments dropped
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
RE: st: RE: RE: xtivreg2 -- Instruments dropped
Date
Sun, 16 Jan 2011 22:43:16 -0000
Actually, I was wrong (sort of) - it turns out the "space" before the comma in Ivan's email wasn't an ascii space (32), it was an extended ascii non-breaking space (160). Get rid of that and both -xtivreg2- and -xtivreg- work fine with Ivan's data and estimation, as far as I can tell.
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of DE
> SOUZA Eric
> Sent: 16 January 2011 14:38
> To: [email protected]
> Subject: RE: st: RE: RE: xtivreg2 -- Instruments dropped
>
> So the space before the comma was the reason I couldn't get
> it to run this time. I saw the error message but then had to
> move on something else.
>
> Eric
>
>
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
>
>
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Schaffer, Mark E
> Sent: 16 January 2011 15:30
> To: [email protected]
> Subject: RE: st: RE: RE: xtivreg2 -- Instruments dropped
>
> Ivan,
>
> I used your corrected dataset, and made some progress in
> tracking down the problem, but there are still aspects I
> don't understand.
>
> 1. Easy part: to identify your versions of xtivreg2, ivreg2,
> xtivreg, etc., you use the -which- command. It's best to use
> the -all- option with it, in case there are multiple versions
> lurking on your machine. For example,
>
> . which xtivreg, all
>
> C:\Program Files\Stata11\ado\updates\x\xtivreg.ado
> *! version 1.5.9 11nov2009
>
> C:\Program Files\Stata11\ado\base\x\xtivreg.ado
> *! version 1.5.7 17jun2009
>
> NB: The dulpicate versions above aren't a problem for an
> official program like -xtivreg-. When you update your Stata
> and a do file gets updated, the update goes in the updates
> folder and the original stays in the base folder.
>
> 2. I can't run your example, using either -xtivreg2- or
> official -xtivreg-. The reason is a bug, or perhaps
> "inflexibility", in the parsing done by -xtivreg2- and
> -xtivreg-. It is very simple: if you use a space between the
> end of an -if- statement and the comma, both -xtivreg2- and
> -xtivreg- complain in a very uninformative way:
>
> First, -xtivreg2-:
>
> . xi: xtivreg2 xrdr_ln revtr_ln mktbook_mm ebitdar_ln ///
> > taxcred (L.utsa = L.govr_r) i.year ///
> > if xrdr_count >= 6 , fe cluster(state_sic)
> i.year _Iyear_1976-2006 (naturally coded;
> _Iyear_1976 omitted)
> 6 invalid name
> r(198);
>
> end of do-file
>
> r(198);
>
> Now official -xtivreg-:
>
> . xi: xtivreg xrdr_ln revtr_ln mktbook_mm ebitdar_ln ///
> > taxcred (L.utsa = L.govr_r) i.year ///
> > if xrdr_count >= 6 , fe cluster(state_sic)
> i.year _Iyear_1976-2006 (naturally coded;
> _Iyear_1976 omitted)
> 6 invalid name
> r(198);
>
> end of do-file
>
> r(198);
>
> But delete the spaces between 6 and the comma, and it works:
>
> . xi: xtivreg2 xrdr_ln revtr_ln mktbook_mm ebitdar_ln ///
> > taxcred (L.utsa = L.govr_r) i.year ///
> > if xrdr_count >= 6, fe cluster(state_sic)
> i.year _Iyear_1976-2006 (naturally coded;
> _Iyear_1976 omitted)
> Warning - singleton groups detected. 295 observation(s) not used.
> Warning - collinearities detected
> Vars dropped: _Iyear_2006
>
> FIXED EFFECTS ESTIMATION
> ------------------------
> Number of groups = 3198 Obs per
> group: min = 2
>
> avg = 8.5
>
> max = 30
>
> IV (2SLS) estimation
> --------------------
>
> Estimates efficient for homoskedasticity only Statistics
> robust to heteroskedasticity and clustering on state_sic
>
> Number of clusters (state_sic) = 1471 Number
> of obs = 27044
> F( 34,
> 1470) = 3.85
> Prob >
> F = 0.0000
> Total (centered) SS = 251.0415486
> Centered R2 = 0.2476
> Total (uncentered) SS = 251.0415486
> Uncentered R2 = 0.2476
> Residual SS = 188.8924922 Root
> MSE = .089
>
> --------------------------------------------------------------
> ----------------
> | Robust
> xrdr_ln | Coef. Std. Err. z P>|z|
> [95% Conf. Interval]
> -------------+------------------------------------------------
> ----------
> -------------+------
> utsa |
> L1. | .0174583 .0902999 0.19 0.847
> -.1595263 .1944429
> |
> revtr_ln | .1265504 .0205411 6.16 0.000
> .0862907 .1668102
> mktbook_mm | .0149745 .3796314 0.04 0.969
> -.7290894 .7590385
> ebitdar_ln | .0408917 .0159209 2.57 0.010
> .0096873 .0720961
> taxcred | -.1079932 .5174864 -0.21 0.835
> -1.122248 .9062615
> _Iyear_1977 | -.0313348 .0448701 -0.70 0.485
> -.1192785 .056609
> ...
> <output edited for brevity>
> ...
> _Iyear_2005 | -.0105457 .0033898 -3.11 0.002
> -.0171896 -.0039017
> --------------------------------------------------------------
> ----------------
> Underidentification test (Kleibergen-Paap rk LM statistic):
> 46.831
> Chi-sq(1)
> P-val = 0.0000
> --------------------------------------------------------------
> ----------------
> Weak identification test (Cragg-Donald Wald F statistic):
> 202.397
> (Kleibergen-Paap rk Wald F
> statistic): 53.412
> Stock-Yogo weak ID test critical values: 10% maximal IV size
> 16.38
> 15% maximal IV size
> 8.96
> 20% maximal IV size
> 6.66
> 25% maximal IV size
> 5.53
> Source: Stock-Yogo (2005). Reproduced by permission.
> NB: Critical values are for Cragg-Donald F statistic and
> i.i.d. errors.
> --------------------------------------------------------------
> ----------------
> Hansen J statistic (overidentification test of all
> instruments): 0.000
> (equation
> exactly identified)
> --------------------------------------------------------------
> ----------------
> Instrumented: L.utsa
> Included instruments: revtr_ln mktbook_mm ebitdar_ln taxcred
> _Iyear_1977 ...
> <output edited for brevity>
> ... _Iyear_2002 _Iyear_2003 _Iyear_2004
> _Iyear_2005
> Excluded instruments: L.govr_r
> Dropped collinear: _Iyear_2006
> --------------------------------------------------------------
> ----------------
>
> 3. I still don't understand what you mean when you say
>
> > IP: I meant instruments -- in the sense that I used different
> > instruments in various specifications, and each one was dropped.
>
> I'm pretty sure you don't mean that -xtivreg2- drops every
> excluded instrument but still reports a coefficient for an
> endogenous regressor! But then, what do you mean?
>
> But maybe it doesn't matter if simply eliminating the spaces
> between 6 and the comma solves your problem.
>
> Best wishes,
> Mark
>
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On Behalf Of Ivan Png
> > Sent: 16 January 2011 03:25
> > To: [email protected]
> > Subject: Re: st: RE: RE: xtivreg2 -- Instruments dropped
> >
> > Sorry, Mark. I've updated the data-set.
> >
> > On Sat, Jan 15, 2011 at 10:29 PM, Schaffer, Mark E
> > <[email protected]> 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: [email protected]
> > >> [mailto:[email protected]] On Behalf Of
> > DE SOUZA
> > >> Eric
> > >> Sent: 15 January 2011 12:02
> > >> To: [email protected]
> > >> 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: [email protected]
> > >> [mailto:[email protected]] On Behalf
> Of Ivan Png
> > >> Sent: 15 January 2011 12:43
> > >> To: [email protected]
> > >> 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/
> >
>
>
> --
> 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/
>
> *
> * 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/