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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
Sun, 20 Mar 2011 21:43:54 +0000
Thank you.
I have additional informations. Hopefully, there are solutions.
I have 90 Tradepairs (Panel Variables) in this setting. So, in this
case, Can i plausibly use the non-robust overid statistic to suggest
the estimates are still consistent? yet lack efficiency?.
Or, i can't conclude anything at this stage.
If 90 Tradepairs are small and you've suggested HT is unrealiable.
Does this simply mean the model is misspecified?
If possible could you privide other optional solutions?. I am very new
to econometrics and STATA.
Actually, my next plan is to estimate this same equation however
enlarging the Panel to be 380. Hopefully the robust-overid statistic
is reliable then.
Please assist.
Thanks.
On Sun, Mar 20, 2011 at 9:20 PM, Schaffer, Mark E <[email protected]> wrote:
> May,
>
> In other words, the standard non-robust overid statistic is small, suggesting you shouldn't reject the null of valid instruments, but the cluster-robust overid statistic is large, suggesting you should reject the null.
>
> This is a little unusual but possible. Usually it's the other way around, i.e., we usually expect non-robust test stats to be misleadingly small compared to the heteroskedasticity or cluster-robust versions.
>
> One caveat - if you have only a small number of clusters, the cluster-robust test stats can be unreliable. For that matter, if clusters are panel units, and you have only a small number of panel units, HT will be unreliable as well.
>
> --Mark
>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of May Ster
>> Sent: 20 March 2011 20:57
>> To: [email protected]
>> Subject: Re: st: RE: Hausman-Taylor and Autocorrelation
>>
>> Apologize for not making my point clear earlier. However,
>> what i meant was that i have this panel data ;
>>
>> Panel data set : Panel Variable : Tradepairs (Strongly Balanced)
>> Time Variable : year, 1970 -2007
>> delta : 1 year
>> Initially i did ;
>>
>> xthtaylor Y X1 X2 X3,...,X9, endo(X3 X4 X7) varying(X1 X2 X3 X4 X5)
>>
>> After that, i used -xtoverid- , as a result, i obtained
>> Sargan-Hansen Test = 2.520 with the P= 0.2837 so i considered
>> this sets of instruments are valid.
>>
>> However, since i suspected Autocorrelations. I then followed
>> suggestions as discussed by again after estimated ;
>>
>> xthtaylor Y X1 X2 X3,...X9, endo(X3 X4 X7) varying(X1 X2 X3 X4 X5)
>>
>> This time, i used -xtoverid, cluster(Tradepairs) noisily-
>>
>> As a result, i obtained Sargan-Hansen Statistic = 9.898 with
>> P = 0.0195. This is where i'm being confused by.
>> Since, as i understand, i didn't change the sets of
>> instruments, but now with cluster option, the P value is
>> lowered ( < 0.05) which signifies that this sets of
>> instruments are now not valid?
>>
>> I am not sure whether this could be because i used the command option
>> -cluster- wrongly.
>> Please assist.
>> Thank you very much in advance,
>>
>> May
>>
>> On Sun, Mar 20, 2011 at 1:02 AM, Schaffer, Mark E
>> <[email protected]> wrote:
>> > May,
>> >
>> >> -----Original Message-----
>> >> From: [email protected]
>> >> [mailto:[email protected]] On Behalf Of May Ster
>> >> Sent: 19 March 2011 19:54
>> >> To: [email protected]
>> >> Subject: Re: st: RE: Hausman-Taylor and Autocorrelation
>> >>
>> >> Thank you Jeffrey and Mark so far,
>> >>
>> >> I've followed your suggestion using -xthtaylor- with -xtoverid,
>> >> cluster(clustvar) noisily-
>> >>
>> >> However, i have some doubts regarding the results.
>> >>
>> >> I didn't change the sets of instruments from my previous tasks in
>> >> which the overidentification test suggests the validity of
>> >> instruments.
>> >> Nevertheless, after i use -xtoverid, cluster(clustvar)
>> >> noisily- there is the Hansen J statistic which giving the P value
>> >> which is smaller (Sargan-Hansen = 6.364 with the P value =
>> 0.0415)
>> >> than when i use just -xtoverid- after -xthtaylor-.
>> >>
>> >> So , does this imply that the overidentification test I've
>> previously
>> >> done with -xtoverid- is no longer appropriate to identify
>> that these
>> >> sets of instruments are valid?
>> >
>> > You need to tell us more about the equations you are
>> estimating. Are you saying that you estimated the *same*
>> equation but now obtained a different overid statistic? That
>> shouldn't be possible. If the equations weren't the same,
>> how were they different?
>> >
>> > --Mark
>> >
>> >> Please assist,
>> >>
>> >> May
>> >>
>> >>
>> >>
>> >> On Wed, Mar 9, 2011 at 8:00 PM, Wooldridge, Jeffrey
>> >> <[email protected]> wrote:
>> >> >
>> >> > Certainly seems easier to me!
>> >> >
>> >> > Even easier would be to get the Stata folks to allow
>> >> "cluster" with xthtaylor in future versions.
>> >> >
>> >> > -----Original Message-----
>> >> > From: [email protected]
>> >> > [mailto:[email protected]] On Behalf Of
>> >> Schaffer,
>> >> > Mark E
>> >> > Sent: Wednesday, March 09, 2011 2:27 PM
>> >> > To: [email protected]
>> >> > Subject: RE: st: RE: Hausman-Taylor and Autocorrelation
>> >> >
>> >> > Or, to avoid some of the tedium, after estimation by -xthtaylor-,
>> >> >
>> >> > xtoverid, cluster(clustvar) noisily
>> >> >
>> >> > will report the cluster-robust SEs for the HT estimation.
>> > (Replacing,
>> >> > of course, "clustvar" by the name of the variable on
>> which you are
>> >> > clustering.)
>> >> >
>> >> > Not all the tedium is avoided, because the variable names
>> >> reported by -xtoverid- are Stata temporary names, so you'd have to
>> >> match them to the real names by comparing the output with that of
>> >> -xthtaylor-, but it probably beats doing HT by hand.
>> >> >
>> >> > Cheers,
>> >> > Mark
>> >> >
>> >> > > -----Original Message-----
>> >> > > From: [email protected]
>> >> > > [mailto:[email protected]] On Behalf Of
>> >> > > Wooldridge, Jeffrey
>> >> > > Sent: 09 March 2011 18:39
>> >> > > To: [email protected]
>> >> > > Subject: RE: st: RE: Hausman-Taylor and Autocorrelation
>> >> > >
>> >> > > The transformation used by HT is the same as that used by
>> >> RE, it's
>> >> > > just that the former uses IV. In Stata, RE has a "theta"
>> >> > > option so that you can see what fraction of the mean is
>> >> subtracted
>> >> > > off (which is the same for all i with a balanced panel).
>> >> > > Unfortunately, it is not an option with HT.
>> >> > >
>> >> > > You can compute it from the HT output: it depends on
>> sigmasq(u),
>> >> > > sigmasq(e), and T. I call it lambda
>> >> > > (unfortunately) in both editions of my book. Greene's book and
>> >> > > Baltagi's must have it, too. If you get this estimate, you can
>> >> > > compute the quasi-demeaned data by hand (tedious) and then use
>> >> > > pooled 2SLS. With a "cluster" option the standard
>> errors will be
>> >> > > fully robust.
>> >> > >
>> >> > > Jeff
>> >> > >
>> >> > > -----Original Message-----
>> >> > > From: [email protected]
>> >> > > [mailto:[email protected]] On Behalf
>> >> Of May Ster
>> >> > > Sent: Tuesday, March 08, 2011 2:04 PM
>> >> > > To: [email protected]
>> >> > > Subject: Re: st: RE: Hausman-Taylor and Autocorrelation
>> >> > >
>> >> > > 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.
>> >> > > > *
>> >> > > > * 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/
>> >> > >
>> >> > > *
>> >> > > * 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/
>> >>
>> >> *
>> >> * 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/
>
*
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