Re: st: RE: Saving first-stage y_hat from xtivreg2

[etanebay@yahoo.com]

Thanks Mark. 

Do you think I can construct id dummies for each i - so it is no longer a panel, but a time series with time-invariant dummies - and use ivreg2?

So the model is now:

ivreg2 gmm y1 x1 x2 x3 dum1 dum2... (y2 = z1), first savefirst

estimates restore _ivreg2_y2

predict pred_y2
  

Will the predicted values of y2 be consistent and unbiased? 
Will the loss of efficiency be great?

Thanks again, May





------------------

-----Original Message-----
From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
Sender: owner-statalist@hsphsun2.harvard.edu
Date: Mon, 14 Mar 2011 20:26:18 
To: <statalist@hsphsun2.harvard.edu>
Reply-To: statalist@hsphsun2.harvard.eduSubject: RE: st: RE: Saving first-stage y_hat from xtivreg2

May,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> etanebay@yahoo.com
> Sent: 14 March 2011 19:58
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: Saving first-stage y_hat from xtivreg2
> 
> Hi Mark,
> 
> Thanks for the tip. I should have said that I tried it, but 
> it didn't work. 
> 
> I entered:
> 
> xtivreg2 y1 x1 x2 x3 (y2 = z1), gmm2s kernel barlett bw(1) fe 
> first savefirst
> 
> estimates restore _xtivreg2_y2
> 
> predict pred_y2
> 
> 
> But the fitted values of y2 were not produced
> 
> Have I missed a step?

Oops ... no, the problem isn't with what you did.

-xtivreg2- performs the within (or, alternatively, first differences)
transformation before estimating.

Saving the first stage regression and then restoring the results won't
work, because -xtivreg2- isn't set up to generate predicted values of
transformed variables.  Sorry for steering you in the wrong direction.

The only option I can think of is to do the within transformation by
hand (Ben Jann's -center- command is good for that) and then use
-ivreg2- with the undocumented dofminus() option to account for the
degrees of freedom lost to the fixed effects.  The saved first stage
should be able to let you generate fitted values, but these will be
predictions of the demeaned endogenous regressor, not the original.

--Mark

> 
> Many thanks, May
> 
> 
> 
> 
> 
> 
> 
> ------------------
> 
> -----Original Message-----
> From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
> Sender: owner-statalist@hsphsun2.harvard.edu
> Date: Mon, 14 Mar 2011 18:18:05
> To: <statalist@hsphsun2.harvard.edu>
> Reply-To: statalist@hsphsun2.harvard.eduSubject: st: RE: 
> Saving first-stage y_hat from xtivreg2
> 
> May,
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> > etanebay@yahoo.com
> > Sent: 14 March 2011 17:39
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: Saving first-stage y_hat from xtivreg2
> > 
> > Hi, I have an issue getting stata to predict first-stage 
> y2_hat. Can 
> > someone help please?
> > 
> > My data are panel. 
> > 
> > My model is:
> > 
> >  xtivreg2 y1 x1 x2 x3 (y2 = z1), gmm2s kernel barlett bw(1) fe first
> > 
> > So first stage is:
> > y2 x1 x2 x3 z1
> > 
> > How do I get predicted y2 please?
> 
> Have a look at the -savefirst- option as described in -help ivreg2-.
> 
> Cheers,
> Mark
> 
> > 
> > Tried "predict pred_y2, equation(first)" but this doesn't work. 
> > 
> > Thanks!
> > 
> > May
> > 
> > 
> > 
> > ------------------
> > 
> > *
> > *   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/

*
*   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/