Re: st: xthtaylor by hand or using xtivreg2

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

Mark,

thanks a lot, I'll wait for the update.

Marc

Schaffer, Mark E wrote:
> Marc,
>
> I found the source of your first problem: the undocumented -noisily-
> option of -xtoverid- was using another option that was incompatible with
> displaying first-stage results.
>
> I'll fix it and let you and the rest of the list know when the update is
> available.
>
> Cheers,
> 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 15:06
> > To: statalist@hsphsun2.harvard.edu
> > Subject: Re: st: xthtaylor by hand or using xtivreg2
> >
> > 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:
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> > > > > >
> > > > > >     
> > > > > >         
> > > > > >             
> > > > > *
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> > > > >   
> > > > >       
> > > > >           
> > > > --
> > > > 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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> > > >
> > > >     
> > > >         
> > >   
> > >       
> > --
> > 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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> > *   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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