Re: st: xthtaylor by hand or using xtivreg2

["M.M. Kramer" <M.M.Kramer@rug.nl>]

Hi Mark,

After xtoverid, noisily (I cannot find xtoverid2) I receive the 
following errors:
1. Unable to display summary of first-stage estimates; macro e(first) is 
missing
2. xtoverid error: internal reestimation of eqn differs from original

And sometimes also:
Warning - endogenous variable(s) collinear with instruments
                     *:  3200  conformability error
               s_egmm():     -  function returned error
                <istmt>:     -  function returned error

Thanks for your help.
Marc


Schaffer, Mark E wrote:
> Marc,
>
> What is the problem you encounter when using xtoverid or xtoverid2 with
> the noisily option?  Is it that the full first-stage results aren't
> displayed?  I was looking at the code and it seems that this
> undocumented option should - but doesn't - trigger display of the
> first-stage results.
>
> --Mark
>
>   
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of M.M. Kramer
> > Sent: 02 November 2011 09:26
> > To: statalist@hsphsun2.harvard.edu
> > Subject: Re: st: xthtaylor by hand or using xtivreg2
> >
> > Dear Nick,
> >
> > I am trying to estimate the impact of a self-choosen 
> > treatment on portfolio returns of retail investors. This 
> > self-choosen treatment is very likely endogenous, it does not 
> > vary over time and we do not have external instuments 
> > available, so Hausman-Taylor might be an appropriate 
> > estimation technique.  The problem that I keep encountering 
> > is that I cannot assess the quality of the instruments that 
> > xthtaylor creates. I cannot see the first stage results when 
> > using xtoverid2 and I receive warnings on collinearity. My 
> > idea was to create the instruments by hand and then use 2SLS 
> > to see what's going on. So far, I found that xthtaylor 
> > transforms the timevarying exogenous variables into means, 
> > and demeaned variables and uses some other transformations. 
> > My question therefore is how exactly to replicate the 
> > variable transformation of xthaylor to create the instruments by hand.
> >
> > Marc
> >
> > Nick Cox wrote:
> >
> >     
> > > Many people will sympathise to some degree here, but what 
> > >       
> > kind of help 
> >     
> > > are you expecting _which can reasonably be provided_?
> > >
> > > 1. To comment helpfully on your difficulties with 
> > >       
> > -xthtaylor- people 
> >     
> > > will surely want more detail on your problems.
> > >
> > > 2. If you seek to use -xtivreg2- (SSC), the same comment applies
> > > there: the help is the place to start and people will want to see 
> > > specific queries.
> > >
> > > 3. -xthtaylor- is some hundreds of lines long, so 
> > >       
> > reproducing it "by 
> >     
> > > hand" is not trivial.
> > >
> > > Nick
> > >
> > > On Wed, Nov 2, 2011 at 8:26 AM, M.M. Kramer 
> > >       
> > <M.M.Kramer@rug.nl> wrote:
> >     
> > >   
> > >       
> > > > I have been struggling for some time with the xthtaylor command. 
> > > > Especially the various error messages that occur after 
> > > >         
> > some tests are hard to solve.
> >     
> > > >  Does anyone have any clear instructions on how to transform the 
> > > > variables in a way that xtivreg2 can be used?  Or may be 
> > > >         
> > anyone has 
> >     
> > > > the syntax to replicate the output of xthtaylor by hand.
> > > > Thanks.
> > > > Marc Kramer
> > > > *
> > > > *   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/
> > >   
> > >       
> > --
> > Marc Kramer
> > University of Groningen
> > Faculty of Economics & Business
> > Department of Economics, Econometrics and Finance Room WSN 
> > 860 P.O. Box 800 9700 AV Groningen
> > Tel.: 050-363.4532 / 3685
> >
> > *
> > *   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/
> >
> >     
>
>
>   


--
Marc Kramer
University of Groningen
Faculty of Economics & Business
Department of Economics, Econometrics and Finance
Room WSN 860
P.O. Box 800
9700 AV Groningen
Tel.: 050-363.4532 / 3685

*
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