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From | SEZER ALCAN <sezer.alcan@hazine.gov.tr> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | st: RE: xtoverid error: internal reestimation of eqn differs from original |
Date | Tue, 28 Jan 2014 16:10:47 +0000 |
I copied original estimation and xtoverid, noi results. As you can see same number of observation is used and coefficients are not substantially different. You may see it below. I very much appreciate your comments Regards, Sezer Alcan xtivreg y $xvars (sahgd = hlthlm), re G2SLS random-effects IV regression Number of obs = 10051 Group variable: FKIMLIK Number of groups = 3784 R-sq: within = 0.0479 Obs per group: min = 2 between = 0.5865 avg = 2.7 overall = 0.5116 max = 4 Wald chi2(26) = 5525.18 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ y | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- sahgd | .0681581 .0329966 2.07 0.039 .003486 .1328303 age | .0841604 .0058326 14.43 0.000 .0727286 .0955922 age2 | -.0008967 .0000755 -11.88 0.000 -.0010446 -.0007488 wed | .122449 .0210754 5.81 0.000 .081142 .163756 illit | -.1637081 .0654399 -2.50 0.012 -.291968 -.0354482 secprim | .0974501 .0232707 4.19 0.000 .0518404 .1430599 highsch | .2458178 .0269148 9.13 0.000 .1930658 .2985698 techigh | .2928797 .0262241 11.17 0.000 .2414815 .344278 univ | .5371905 .0325742 16.49 0.000 .4733463 .6010348 nutriengh | .1259238 .0120452 10.45 0.000 .1023156 .1495319 socsecprb | .2143147 .0183127 11.70 0.000 .1784225 .2502069 prof | .4363263 .0348374 12.52 0.000 .3680462 .5046064 manag | .4134413 .0367269 11.26 0.000 .3414578 .4854248 craft | -.0143766 .0231956 -0.62 0.535 -.0598391 .0310859 machop | -.0575744 .02341 -2.46 0.014 -.1034571 -.0116917 unskll | -.1693637 .0235825 -7.18 0.000 -.2155845 -.1231429 nutriunskll | -.0274815 .0302797 -0.91 0.364 -.0868286 .0318655 sector3 | .0279124 .019475 1.43 0.152 -.0102579 .0660826 sector5 | -.0255151 .0249776 -1.02 0.307 -.0744704 .0234402 sector6 | -.1065776 .0218064 -4.89 0.000 -.1493174 -.0638379 firmsize10 | -.0530375 .0196092 -2.70 0.007 -.0914708 -.0146041 firmsize2049 | .0864132 .023699 3.65 0.000 .039964 .1328624 firmsize50p | .1883012 .0214952 8.76 0.000 .1461715 .2304309 perm | .1811101 .020985 8.63 0.000 .1399803 .2222399 yr2008 | -.1080605 .0104045 -10.39 0.000 -.128453 -.0876681 yr2009 | -.0215809 .0089087 -2.42 0.015 -.0390417 -.0041201 _cons | -1.27803 .1101712 -11.60 0.000 -1.493962 -1.062099 -------------+---------------------------------------------------------------- sigma_u | .40067359 sigma_e | .36180592 rho | .55084324 (fraction of variance due to u_i) ------------------------------------------------------------------------------ Instrumented: sahgd Instruments: age age2 wed illit secprim highsch techigh univ nutriengh socsecprb prof manag craft machop unskll nutriunskll sector3 sector5 sector6 firmsize10 firmsize2049 firmsize50p perm yr2008 yr2009 hlthlm ------------------------------------------------------------------------------ . xtoverid xtoverid error: internal reestimation of eqn differs from original r(198); . xtoverid, noi First-stage regressions ----------------------- First-stage regression of __00000I: OLS estimation -------------- Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only Number of obs = 10051 F( 27, 10024) = 774.81 Prob > F = 0.0000 Total (centered) SS = 948.7104765 Centered R2 = 0.2241 Total (uncentered) SS = 2272.334237 Uncentered R2 = 0.6761 Residual SS = 736.1052268 Root MSE = .271 ------------------------------------------------------------------------------ __00000I | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- __00000O | -.0012507 .003727 -0.34 0.737 -.0085564 .0060551 __00000R | -.0000673 .0000483 -1.39 0.164 -.000162 .0000275 __00000U | -.0085974 .0141249 -0.61 0.543 -.036285 .0190902 __00000X | -.210671 .042279 -4.98 0.000 -.2935463 -.1277956 __000010 | .0274273 .0149386 1.84 0.066 -.0018553 .0567099 __000013 | .0184523 .0177786 1.04 0.299 -.0163974 .0533019 __000016 | .0513269 .01727 2.97 0.003 .0174743 .0851794 __000019 | .0530563 .0218709 2.43 0.015 .010185 .0959275 __00001C | .0344548 .0085254 4.04 0.000 .0177433 .0511663 __00001F | .0304538 .0124402 2.45 0.014 .0060685 .0548392 __00001I | -.0071152 .0235747 -0.30 0.763 -.0533263 .0390959 __00001L | .0168858 .0254501 0.66 0.507 -.0330014 .0667731 __00001O | -.0067492 .015419 -0.44 0.662 -.0369735 .0234751 __00001R | -.0004078 .01575 -0.03 0.979 -.031281 .0304653 __00001U | -.0480332 .0157943 -3.04 0.002 -.0789933 -.0170732 __00001X | .0131181 .0212184 0.62 0.536 -.0284742 .0547104 __000020 | -.0202486 .0132233 -1.53 0.126 -.0461689 .0056717 __000023 | .0242722 .016993 1.43 0.153 -.0090374 .0575819 __000026 | -.0206897 .0145767 -1.42 0.156 -.049263 .0078835 __000029 | .0081375 .0134997 0.60 0.547 -.0183246 .0345997 __00002C | .0016234 .0162664 0.10 0.921 -.030262 .0335087 __00002F | -.0160256 .0147908 -1.08 0.279 -.0450186 .0129673 __00002I | .0114303 .0143138 0.80 0.425 -.0166277 .0394883 __00002L | .0069627 .0073903 0.94 0.346 -.0075237 .0214491 __00002O | -.0058741 .0063412 -0.93 0.354 -.0183042 .006556 __00000E | .9547274 .0680486 14.03 0.000 .8213384 1.088116 __00000L | -.4283008 .0097704 -43.84 0.000 -.4474527 -.4091489 ------------------------------------------------------------------------------ Included instruments: __00000O __00000R __00000U __00000X __000010 __000013 __000016 __000019 __00001C __00001F __00001I __00001L __00001O __00001R __00001U __00001X __000020 __000023 __000026 __000029 __00002C __00002F __00002I __00002L __00002O __00000E __00000L ------------------------------------------------------------------------------ F test of excluded instruments: F( 1, 10024) = 1921.65 Prob > F = 0.0000 Angrist-Pischke multivariate F test of excluded instruments: F( 1, 10024) = 1921.65 Prob > F = 0.0000 Summary results for first-stage regressions ------------------------------------------- (Underid) (Weak id) Variable | F( 1, 10024) P-val | AP Chi-sq( 1) P-val | AP F( 1, 10024) __00000I | 1921.65 0.0000 | 1926.83 0.0000 | 1921.65 Stock-Yogo weak ID test critical values for single endogenous regressor: 10% maximal IV size 16.38 15% maximal IV size 8.96 20% maximal IV size 6.66 25% maximal IV size 5.53 Source: Stock-Yogo (2005). Reproduced by permission. Underidentification test Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified) Ha: matrix has rank=K1 (identified) Anderson canon. corr. LM statistic Chi-sq(1)=1616.87 P-val=0.0000 Weak identification test Ho: equation is weakly identified Cragg-Donald Wald F statistic 1921.65 Stock-Yogo weak ID test critical values for K1=1 and L1=1: 10% maximal IV size 16.38 15% maximal IV size 8.96 20% maximal IV size 6.66 25% maximal IV size 5.53 Source: Stock-Yogo (2005). Reproduced by permission. Weak-instrument-robust inference Tests of joint significance of endogenous regressors B1 in main equation Ho: B1=0 and orthogonality conditions are valid Anderson-Rubin Wald test F(1,10024)= 7.17 P-val=0.0074 Anderson-Rubin Wald test Chi-sq(1)= 7.19 P-val=0.0073 Stock-Wright LM S statistic Chi-sq(1)= 7.19 P-val=0.0073 Number of observations N = 10051 Number of regressors K = 27 Number of endogenous regressors K1 = 1 Number of instruments L = 27 Number of excluded instruments L1 = 1 IV (2SLS) estimation -------------------- Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only Number of obs = 10051 F( 27, 10024) = 927.71 Prob > F = 0.0000 Total (centered) SS = 2432.217133 Centered R2 = 0.3602 Total (uncentered) SS = 5444.007778 Uncentered R2 = 0.7142 Residual SS = 1556.070469 Root MSE = .3935 ------------------------------------------------------------------------------ __00000G | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- __00000I | .0888147 .0331225 2.68 0.007 .0238959 .1537336 __00000O | .0757184 .0054114 13.99 0.000 .0651122 .0863246 __00000R | -.0008138 .0000703 -11.58 0.000 -.0009515 -.000676 __00000U | .1304926 .0205185 6.36 0.000 .090277 .1707081 __00000X | -.1801946 .0620044 -2.91 0.004 -.3017211 -.0586681 __000010 | .1117898 .0217153 5.15 0.000 .0692286 .154351 __000013 | .2030786 .0258334 7.86 0.000 .152446 .2537111 __000016 | .2834297 .0251911 11.25 0.000 .234056 .3328033 __000019 | .5128589 .0318645 16.09 0.000 .4504056 .5753122 __00001C | .1253982 .0124417 10.08 0.000 .1010129 .1497835 __00001F | .2136176 .0180921 11.81 0.000 .1781577 .2490774 __00001I | .4131903 .0342317 12.07 0.000 .3460974 .4802832 __00001L | .436081 .0369653 11.80 0.000 .3636303 .5085317 __00001O | -.019046 .0223885 -0.85 0.395 -.0629268 .0248347 __00001R | -.0736599 .0228685 -3.22 0.001 -.1184813 -.0288385 __00001U | -.1782438 .0229984 -7.75 0.000 -.2233199 -.1331676 __00001X | -.0256015 .0308117 -0.83 0.406 -.0859914 .0347884 __000020 | .0228741 .0192233 1.19 0.234 -.0148028 .060551 __000023 | -.0349952 .0246815 -1.42 0.156 -.0833701 .0133797 __000026 | -.1084179 .0211765 -5.12 0.000 -.149923 -.0669128 __000029 | -.0628365 .0196054 -3.21 0.001 -.1012624 -.0244106 __00002C | .0772072 .0236188 3.27 0.001 .0309153 .1234991 __00002F | .1776297 .0214788 8.27 0.000 .1355321 .2197273 __00002I | .1943209 .0207961 9.34 0.000 .1535613 .2350805 __00002L | -.1077913 .0107296 -10.05 0.000 -.128821 -.0867616 __00002O | -.0214963 .0092137 -2.33 0.020 -.0395548 -.0034378 __00000E | -1.095742 .1031156 -10.63 0.000 -1.297845 -.8936388 ------------------------------------------------------------------------------ Underidentification test (Anderson canon. corr. LM statistic): 1616.868 Chi-sq(1) P-val = 0.0000 ------------------------------------------------------------------------------ Weak identification test (Cragg-Donald Wald F statistic): 1921.654 Stock-Yogo weak ID test critical values: 10% maximal IV size 16.38 15% maximal IV size 8.96 20% maximal IV size 6.66 25% maximal IV size 5.53 Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Sargan statistic (overidentification test of all instruments): 0.000 (equation exactly identified) ------------------------------------------------------------------------------ Instrumented: __00000I Included instruments: __00000O __00000R __00000U __00000X __000010 __000013 __000016 __000019 __00001C __00001F __00001I __00001L __00001O __00001R __00001U __00001X __000020 __000023 __000026 __000029 __00002C __00002F __00002I __00002L __00002O __00000E Excluded instruments: __00000L ------------------------------------------------------------------------------ xtoverid error: internal reestimation of eqn differs from original r(198); ________________________________________ From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] on behalf of Schaffer, Mark E [M.E.Schaffer@hw.ac.uk] Sent: Tuesday, January 28, 2014 5:51 PM To: statalist@hsphsun2.harvard.edu Subject: st: RE: RE: xtoverid error: internal reestimation of eqn differs from original Sezer, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- > statalist@hsphsun2.harvard.edu] On Behalf Of SEZER ALCAN > Sent: 28 January 2014 15:42 > To: statalist@hsphsun2.harvard.edu > Subject: st: RE: xtoverid error: internal reestimation of eqn differs from > original > > Dr Schaffer, > Although xtoverid gives error, xtoverid, noi still reports under identification > test, weak identification test and sargan statistics. > What if internal estimation results by ivreg2 after xtoverid,noi command > does show any collinearity (no regressors are dropped) is it possible to rely > on these test results? They should be OK, but because they don't match the original estimation you can't use them with the original estimation results - they don't apply. In what respects to the original results differ from the xtoverid results? Do they use the same number of observations? Same number of coefficients reported? Are the coefficients very slightly different or substantially different? Are the same variables being treated as endogenous? (One possibility is that collinearity with the excluded instruments is causing an endogenous regressor to be treated as if it is exogenous.) If the results aren't confidential, you can post them here and we can try to work out what is going on. --Mark > Regards, > Sezer Alcan > ________________________________________ > From: owner-statalist@hsphsun2.harvard.edu [owner- > statalist@hsphsun2.harvard.edu] on behalf of Schaffer, Mark E > [M.E.Schaffer@hw.ac.uk] > Sent: Wednesday, January 22, 2014 10:16 PM > To: statalist@hsphsun2.harvard.edu > Subject: st: RE: xtoverid error: internal reestimation of eqn differs from > original > > Sezer, > > > -----Original Message----- > > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- > > statalist@hsphsun2.harvard.edu] On Behalf Of SEZER ALCAN > > Sent: 22 January 2014 18:11 > > To: statalist@hsphsun2.harvard.edu > > Subject: st: xtoverid error: internal reestimation of eqn differs from > > original > > > > When I use xtoverid command in stata after estimation by xthtaylor or > xtivreg > > re /xtivreg fe, I get "xtoverid error: internal reestimation of eqn differs > from > > original". I read all replies under this subject; Dr Schaffer says > > that it may be because of collinearity. However when I execute " > > xtoverid, noisily " I do not detect any collinearity. > > Strictly speaking, my suggestion isn't that collinearity is causing the internal > reestimation to vary from the original estimation. Rather, it's how Stata's > official xthtaylor or xtivreg handles the collinearity vs. how the internal > reestimation by xtoverid (using ivreg2) handles it. > > If there is perfect collinearity, Stata estimators will typically drop enough > regressors or instruments to make the collinearity go away. But which of the > collinear regressors get dropped can vary. And this can make the estimated > coefficients vary even though, in some sense, it's the same model. > > If you look at the internal estimation results by ivreg2 that xtoverid,noi > reports, you should see at the bottom of the main output whether ivreg2 is > dropping any collinear regressors or instruments. You won't be able to easily > map the ones that are being dropped to your dataset, because xtoverid uses > temporary variables, but it should at least be a good clue to what is going on. > > HTH, > Mark > > > > > I was wondering if this problem was due to unbalanced nature of the > > panel I was using. If so what other test can be executed to test over > > identification restrictions in an unbalanced panel. > > If collinearity isn't the problem of the error, can xtoverid, noi > > test results be trusted ? > > > > > > I work wiht Stata 12 and latest version of xtoverid is installed. > > > > Thanks all in advance, > > Sezer Alcan > > * > > * 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/