st: RE: Hausman-Taylor AR(1) estimator

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

Koray,

You'll need to show us the output with the error message about the lack
of full rank etc. before we can offer advice about what it means and how
to deal with it.

You can use xtoverid to get cluster-robust SEs; this is a way of
addressing the within-panel autocorrelation.  This post briefly
describes how:

http://www.stata.com/statalist/archive/2011-03/msg00414.html

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of KORAY ERCIHAN
> Sent: 06 September 2012 17:30
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Hausman-Taylor AR(1) estimator
> 
> Dear Statalist,
> 
> The issues related to Hausman and Taylor estimator have been indicated
in
> Statalist but I couldn't find a solution for my problem.
> I am using panel data including 168 bilateral trade relations under
1993-2007
> years. I want to estimate Hausman-Taylor estimator (HT). Since I find
> autocorrelation in my data, I want to estimate HT AR(1) too.
> 
> I estimated two HT models for my variables. One of them (HT1) is
having 3
> variables in endog part and the other (HT2) has 4 variables in endog
part. I
> have 7 explanatory variables at hand and I'm using time dummies as
well. The
> overidentification test results; 0.11 with p-value: 0.9903 and 0.12
with p-
> value: 0.9983 for HT1 and HT2 respectively. However, I obtained these
test
> results after commanding "xtoverid, noi" but when I use bootstrap
option for
> xthtaylor, it gives an error about the lack of full rank for
covariance matrix
> then I can't get the overidentification test result.
> 
> Do you think I can rely on my overidentification results since their
p-values
> are very high? and how can I solve the autocorrelation problem?
> 
> I will very grateful if you share your knowledge.
> 
> Thanks
> 
> Koray
> 
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