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| From | "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |
| To | <statalist@hsphsun2.harvard.edu> |
| Subject | RE: st: RE: Hausman-Taylor and Autocorrelation |
| Date | Sun, 20 Mar 2011 23:54:51 -0000 |
May, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of May Ster > Sent: 20 March 2011 23:35 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: Hausman-Taylor and Autocorrelation > > 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? I don't think you can do that. If the robust version points to specification problems, you can't easily point to a non-robust version to say that the problems aren't actually there. The point of robust tests is that they are valid under a wider set of circumstances. Maybe others want to come in here.... --Mark > > Thank you in advance, > > > > > > On Sun, Mar 20, 2011 at 11:03 PM, Schaffer, Mark E > <M.E.Schaffer@hw.ac.uk> 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: owner-statalist@hsphsun2.harvard.edu > >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of May Ster > >> Sent: 20 March 2011 21:44 > >> To: statalist@hsphsun2.harvard.edu > >> 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 > >> <M.E.Schaffer@hw.ac.uk> 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: owner-statalist@hsphsun2.harvard.edu > >> >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of May > >> >> Ster > >> >> Sent: 20 March 2011 20:57 > >> >> To: statalist@hsphsun2.harvard.edu > >> >> 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 > >> >> <M.E.Schaffer@hw.ac.uk> wrote: > >> >> > May, > >> >> > > >> >> >> -----Original Message----- > >> >> >> From: owner-statalist@hsphsun2.harvard.edu > >> >> >> [mailto:owner-statalist@hsphsun2.harvard.edu] On > Behalf Of May > >> >> >> Ster > >> >> >> Sent: 19 March 2011 19:54 > >> >> >> To: statalist@hsphsun2.harvard.edu > >> >> >> 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 > >> >> >> <wooldri1@msu.edu> 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: owner-statalist@hsphsun2.harvard.edu > >> >> >> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > >> >> >> Schaffer, > >> >> >> > Mark E > >> >> >> > Sent: Wednesday, March 09, 2011 2:27 PM > >> >> >> > To: statalist@hsphsun2.harvard.edu > >> >> >> > 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: owner-statalist@hsphsun2.harvard.edu > >> >> >> > > [mailto:owner-statalist@hsphsun2.harvard.edu] On > Behalf Of > >> >> >> > > Wooldridge, Jeffrey > >> >> >> > > Sent: 09 March 2011 18:39 > >> >> >> > > To: statalist@hsphsun2.harvard.edu > >> >> >> > > 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: owner-statalist@hsphsun2.harvard.edu > >> >> >> > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf > >> >> >> Of May Ster > >> >> >> > > Sent: Tuesday, March 08, 2011 2:04 PM > >> >> >> > > To: statalist@hsphsun2.harvard.edu > >> >> >> > > 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 > >> >> >> > > <wooldri1@msu.edu> 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: owner-statalist@hsphsun2.harvard.edu > >> >> >> > > > [mailto:owner-statalist@hsphsun2.harvard.edu] On > >> >> Behalf Of May > >> >> >> > > > Ster > >> >> >> > > > Sent: Sunday, March 06, 2011 8:13 PM > >> >> >> > > > To: statalist@hsphsun2.harvard.edu > >> >> >> > > > 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/ > >> > > >> > >> * > >> * 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/