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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 23:35:10 +0000
Actually, Tradepairs in my study is bilateral pairs of 10 countries.
So given your example, in my case, there will be 6 tradepairs because
in my data ( only consider export). Thus, export of A to B might not
be equal to export of B to A.
So again, with 3 trading partners, A, B, C, i then have AB, AC, BC,
BA, CA and CB. This is how i have 90 Tradepairs in my data set.
If the cluster-robust structure implies that there is no correlation
between errors of tradepairs. Then, could i stop at the previous
-xthtaylor- estimates ( the non-robust version)? Is that acceptable?
Thank you in advance,
On Sun, Mar 20, 2011 at 11:03 PM, Schaffer, Mark E
<[email protected]> wrote:
> May,
>
> 90 isn't very small. And taken at face value, the cluster-robust overid stat suggests that you have inconsistent estimates.
>
> But the term you're using for your panel units, "tradepairs", suggests that the cluster-robust structure may not be appropriate. Are these bilateral pairs of trading partners? Say you have 3 trading partners, A, B and C. Then you have 3 possible trading pairs, AB, AC and BC. The cluster-robust structure implies that there is no correlation between, e.g., the errors for AB and AC. Is that reasonable, given that partner A is trading in both?
>
> Maybe some others on the list have suggestions about how to deal with data that take this structure.
>
> --Mark
>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of May Ster
>> Sent: 20 March 2011 21:44
>> To: [email protected]
>> Subject: Re: st: RE: Hausman-Taylor and Autocorrelation
>>
>> 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
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>> >> >> * 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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>>
>
>
> --
> 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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