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| From | "Kemeny, Thomas Ernest" <tkemeny@email.unc.edu> |
| To | "<statalist@hsphsun2.harvard.edu>" <statalist@hsphsun2.harvard.edu> |
| Subject | Re: st: RE: xtivreg2: confusing analytical samples reported |
| Date | Tue, 19 Mar 2013 18:13:36 +0000 |
Aha - the number of singletons is exactly the difference between the two analytical samples. Thanks Mark! Sent from my iPhone On Mar 19, 2013, at 11:59 AM, "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> wrote: > So the singletons are probably the answer. xtivreg2 tells you how many > there were, so that would confirm it. > > --Mark > >> -----Original Message----- >> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- >> statalist@hsphsun2.harvard.edu] On Behalf Of Kemeny, Thomas Ernest >> Sent: 19 March 2013 14:05 >> To: <statalist@hsphsun2.harvard.edu> >> Subject: Re: st: RE: xtivreg2: confusing analytical samples reported >> >> Hi Mark, >> >> Thanks for your help. Some answers: >> >> Versions: I am running stata 12.1; ivreg2 v3.0.06; xtivreg2 v1.0.12. >> >> Singletons: yes! It detects singleton groups, resulting in > observations not >> used. >> >> Coefficients- yes, same coefficients with or without partialling and > clustered >> SEs. >> >> Thanks! >> Tom >> >> >> >> On Mar 18, 2013, at 4:28 PM, "Schaffer, Mark E" > <M.E.Schaffer@hw.ac.uk> >> wrote: >> >>> Tom, >>> >>> A few thoughts... >>> >>> 1. Can you report which versions of Stata, xtivreg2, ivreg2, etc. > you >>> are using? (As per the Statalist FAQ.) >>> >>> 2. Is xtivreg2 reporting anything about not using singleton > observations? It >> is more informative in this respect than the official xtivreg and > xtreg >> commands. >>> >>> 3. The coefficient estimates you obtain with >>> >>> xtivreg2 y (a = x z) b c d_* e_* f_*, fe ffirst partial(d_* e_* f_*) >>> cluster(g) >>> >>> you can also obtain with official xtivreg: >>> >>> xtivreg2 y (a = x z) b c d_* e_* f_*, fe >>> >>> Are they the same? >>> >>> --Mark >>> >>>> -----Original Message----- >>>> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- >>>> statalist@hsphsun2.harvard.edu] On Behalf Of Kemeny, Thomas Ernest >>>> Sent: 18 March 2013 16:52 >>>> To: statalist@hsphsun2.harvard.edu >>>> Subject: st: xtivreg2: confusing analytical samples reported >>>> >>>> I'm estimating a fixed effects model using annual panel data on >>>> individuals.There is some reason to investigate potential bias due > to >>>> endogeneity of one predictor (let's call it variable a). >>>> >>>> My base model, ignoring endogeneity issues, is as follows: >>>> >>>> .xtreg y a b c i.(d e f), fe vce(cluster g) >>>> >>>> where d, e and f represent time, geography, and industry dummy >> variables. >>>> This model runs on a certain analytical sample. This all seems > fine. >>>> Here is where the trouble starts: starting from the same data, I > then >>>> want to run a 2SLS, using instruments x and z. Before I can do so, > I >>>> have to the generate the dummy variables for d, e and f, since the >>>> i() subcommand will not work with xtivreg2. >>>> >>>> .qui tab d, gen (d_) >>>> .qui tab e, gen (e_) >>>> .qui tab f, gen (f_) >>>> >>>> Then I can run xtivreg2, as follows: >>>> >>>> .xtivreg2 y (a = x z) b c d_* e_* f_*, fe ffirst partial(d_* e_* > f_*) >>>> cluster(g) >>>> >>>> The thing is, xtivreg fe reports a smaller analytical sample than >>>> xtreg fe -- more than a third less! And, even more curiously, if >>>> after running the xtivreg2, I run the following >>>> >>>> .keep if e(sample) >>>> >>>> the kept analytical sample is actually the same as it was in the >>>> original xtreg fe command. >>>> >>>> I am perplexed. Is ixtivreg2 mis-reporting the analytical sample? > Or >>>> is something else going on here? >>>> >>>> Weirder - when I run xtivreg, the native stata panel IV command, > the >>>> analytical sample here is the same as with xtreg fe, in other words >>>> the sample issue disappears (but i cannot cluster SEs using > xtivreg, >>>> which i can do using xtivreg2). >>>> >>>> Any thoughts? >>>> >>>> Much thanks. >>>> Tom >>>> >>>> -- >>>> Thomas Kemeny >>>> Research Assistant Professor >>>> Department of Public Policy >>>> University of North Carolina at Chapel Hill > http://unc.edu/~tkemeny/ >>>> * >>>> * For searches and help try: >>>> * http://www.stata.com/help.cgi?search >>>> * http://www.stata.com/support/faqs/resources/statalist-faq/ >>>> * http://www.ats.ucla.edu/stat/stata/ >>> >>> >>> ----- >>> Sunday Times Scottish University of the Year 2011-2013 Top in the UK >>> for student experience Fourth university in the UK and top in > Scotland >>> (National Student Survey 2012) >>> >>> We invite research leaders and ambitious early career researchers to >>> join us in leading and driving research in key inter-disciplinary > themes. >>> Please see www.hw.ac.uk/researchleaders for further information and >>> how to apply. >>> >>> 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/faqs/resources/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/faqs/resources/statalist-faq/ >> * http://www.ats.ucla.edu/stat/stata/ > > > ----- > Sunday Times Scottish University of the Year 2011-2013 > Top in the UK for student experience > Fourth university in the UK and top in Scotland (National Student Survey 2012) > > We invite research leaders and ambitious early career researchers to > join us in leading and driving research in key inter-disciplinary themes. > Please see www.hw.ac.uk/researchleaders for further information and how > to apply. > > 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/faqs/resources/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/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/