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Re: st: RE: Hausman-Taylor and Autocorrelation
From
May Ster <[email protected]>
To
[email protected]
Subject
Re: st: RE: Hausman-Taylor and Autocorrelation
Date
Tue, 8 Mar 2011 19:03:54 +0000
Thank you JW,
I so far haven't managed to get that version of your MIT pressbook
yet. I will try to get one asap.
However, I am not quite sure what do you mean by firstly "Obtain the
quasi-demeaned data using theta (just as with random effects)"
Does that mean i shall use ...
xtreg y x1 x2 x3, re
then what shall then be next steps?.
I have to apologise if my question is somewhat not too advanced as i'm
very new to STATA.
Please help. Thanks.
On Mon, Mar 7, 2011 at 11:42 AM, Wooldridge, Jeffrey <[email protected]> wrote:
>
> Actually, autocorrelation does not cause inconsistency in the betahats.
> The Hausman-Taylor estimator is a generalized IV estimator and, like
> GLS, it is consistent even if the second moments are misspecified. Of
> course, the instruments need to be strictly exogenous.
>
> The main issue is how to obtain robust standard errors for the
> Hausman-Taylor approach. It can be programmed in Stata without too much
> trouble, but there is a way to use Stata commands, too. Obtain the
> quasi-demeaned data using theta (just as with random effects) and then
> use ivreg on the pooled, quasi-demeaned data. Clustering at the id level
> then produces valid standard errors.
>
> I discuss this in 2e of my MIT Press book.
>
> JW
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of May Ster
> Sent: Sunday, March 06, 2011 8:13 PM
> To: [email protected]
> Subject: st: Hausman-Taylor and Autocorrelation
>
> Dear all,
>
> Under the panel framework,I've used the Hausman-Taylor as an
> estimator. However, i can't find the way to check whether there's
> autocorrelation in residual after using -xthtaylor-.
>
>
> If i'm not wrong, if autocorrelation is the case here, the estimates
> i've obtained so far are not consistent. And, i have to find a way to
> tackle that later.
>
> Please help. Thanks.
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