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st: RE: overid with fixed effects
From
"Schaffer, Mark E" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: overid with fixed effects
Date
Tue, 25 Feb 2014 11:14:00 +0000
Sorin,
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Sorin Krammer
> Sent: 25 February 2014 10:18
> To: [email protected]
> Subject: st: overid with fixed effects
>
> Dear Stata-listers,
>
> I am having some trouble running the diagnostic tests (overid) after IVprobit.
> Specifically, the overid command does not work, and I get the following error
> message:
> "o. operator not allowed"
The -overid- command is a bit long in the tooth, as they say, and doesn't (yet) support the more modern Stata estimation output where omitted variables are denoted internally using the "o." operator.
The solution is to re-estimate but exclude the omitted regressors dummysec18 and dummycountry30 from the estimation so that -ivprobit- doesn't do it.
--Mark
>
> The dataset is a cross-section of firms, and the dummies represent country
> and sector fixed-effects.
>
> Below is the Stata output.
> Any help on solving this issue would be much appreciated.
>
> Thank you,
> Sorin
>
>
>
> ivprobit niperf (wibe =wibe_src12) lnsize age pfo manexp comp export rd
> finance dummysec* dummycountry*,twostep
>
> note: dummysec18 omitted because of collinearity
> note: dummycountry30 omitted because of collinearity Checking reduced-
> form model...
>
> Two-step probit with endogenous regressors Number of obs =
> 7938
> Wald chi2(55) =
> 1338.02
> Prob > chi2 =
> 0.0000
>
> --------------------------------------------------------------------------------
> | Coef. Std. Err. z P>|z| [95% Conf.
> Interval]
> ---------------+--------------------------------------------------------
> ---------------+--------
> wibe | .0387125 .0099985 3.87 0.000 .0191157
> .0583092
> lnsize | .0578077 .012631 4.58 0.000 .0330514
> .082564
> age | -.0027215 .0012543 -2.17 0.030 -.00518
> -.0002631
> pfo | .2103776 .0621549 3.38 0.001 .0885563
> .332199
> manexp | .0020969 .0015714 1.33 0.182 -.000983
> .0051768
> comp | .1019847 .0149898 6.80 0.000 .0726053
> .1313641
> export | .2576724 .0436627 5.90 0.000 .1720951
> .3432498
> rd | .8353312 .0398095 20.98 0.000 .757306
> .9133565
> finance | .198445 .0329135 6.03 0.000 .1339357
> .2629544
> dummysec1 | -.2389516 .1515584 -1.58 0.115 -.5360007
> .0580975
> dummysec2 | -.1867943 .1518865 -1.23 0.219 -.4844863
> .1108977
> dummysec3 | -.4278744 .1681018 -2.55 0.011 -.7573478
> -.098401
> dummysec4 | -.3165274 .157684 -2.01 0.045 -.6255823
> -.0074725
> dummysec5 | -.1945854 .1701904 -1.14 0.253 -.5281524
> .1389816
> dummysec6 | -.3411836 .1876766 -1.82 0.069 -.709023
> .0266558
> dummysec7 | -.3226429 .1677384 -1.92 0.054 -.651404
> .0061182
> dummysec8 | .1094814 .2277545 0.48 0.631 -.3369093
> .5558721
> dummysec9 | -.2062024 .1605089 -1.28 0.199 -.5207941
> .1083893
> dummysec10 | -.2381757 .1661139 -1.43 0.152 -.5637531
> .0874016
> dummysec11 | -.2622814 .2081309 -1.26 0.208 -.6702105
> .1456477
> dummysec12 | -.7878382 .1517089 -5.19 0.000 -1.085182
> -.4904943
> dummysec13 | -.3522726 .1678885 -2.10 0.036 -.6813279
> -.0232172
> dummysec14 | -.0661616 .1527514 -0.43 0.665 -.3655488
> .2332255
> dummysec15 | -.1730415 .1460919 -1.18 0.236 -.4593764
> .1132933
> dummysec16 | -.3553452 .1616354 -2.20 0.028 -.6721447
> -.0385457
> dummysec17 | -.8712897 .1592536 -5.47 0.000 -1.183421
> -.5591584
> dummysec18 | 0 (omitted)
> dummycountry1 | -.9958689 .2308262 -4.31 0.000 -1.44828
> -.5434578
> dummycountry2 | .148311 .2040108 0.73 0.467 -.2515427
> .5481647
> dummycountry3 | -.7225869 .2001102 -3.61 0.000 -1.114796
> -.3303782
> dummycountry4 | -.3920646 .1965872 -1.99 0.046 -.7773684
> -.0067608
> dummycountry5 | -.8806025 .1808386 -4.87 0.000 -1.23504
> -.5261653
> dummycountry6 | -.30624 .187432 -1.63 0.102 -.6736001
> .0611201
> dummycountry7 | -1.038392 .1936603 -5.36 0.000 -1.41796
> -.6588251
> dummycountry8 | -.2388914 .1823388 -1.31 0.190 -.5962688
> .118486
> dummycountry9 | -.2357354 .1902911 -1.24 0.215 -.6086991
> .1372283
> dummycountry10 | -.6840301 .1928882 -3.55 0.000 -1.062084
> -.3059761
> dummycountry11 | -.3277489 .1918996 -1.71 0.088 -.7038652
> .0483674
> dummycountry12 | -.5434274 .1887301 -2.88 0.004 -.9133315
> -.1735233
> dummycountry13 | -.4139371 .1919193 -2.16 0.031 -.790092
> -.0377822
> dummycountry14 | -.5170694 .1949626 -2.65 0.008 -.899189
> -.1349498
> dummycountry15 | -.3960148 .1936286 -2.05 0.041 -.7755198
> -.0165098
> dummycountry16 | -.4731799 .1919085 -2.47 0.014 -.8493137
> -.0970461
> dummycountry17 | -.1953833 .1923881 -1.02 0.310 -.5724571
> .1816905
> dummycountry18 | -.6470639 .2079569 -3.11 0.002 -1.054652
> -.2394758
> dummycountry19 | .0195694 .1892384 0.10 0.918 -.3513309
> .3904698
> dummycountry20 | -.2873089 .1958224 -1.47 0.142 -.6711137
> .0964958
> dummycountry21 | -.1989027 .1984429 -1.00 0.316 -.5878436
> .1900383
> dummycountry22 | -.3685787 .2028177 -1.82 0.069 -.7660942
> .0289367
> dummycountry23 | -.8501975 .1924701 -4.42 0.000 -1.227432
> -.4729631
> dummycountry24 | -.2558144 .1994218 -1.28 0.200 -.646674
> .1350452
> dummycountry25 | .0587657 .1988078 0.30 0.768 -.3308904
> .4484218
> dummycountry26 | -.4283343 .2026821 -2.11 0.035 -.825584
> -.0310846
> dummycountry27 | -.040276 .1974263 -0.20 0.838 -.4272244
> .3466724
> dummycountry28 | -.8178818 .2064661 -3.96 0.000 -1.222548
> -.4132157
> dummycountry29 | -.4408704 .2133132 -2.07 0.039 -.8589566
> -.0227841
> dummycountry30 | 0 (omitted)
> _cons | .014316 .2313522 0.06 0.951 -.439126
> .467758
> --------------------------------------------------------------------------------
> Instrumented: wibe
> Instruments: lnsize age pfo manexp comp export rd finance dummysec1
> dummysec2 dummysec3 dummysec4 dummysec5 dummysec6
> dummysec7
> dummysec8 dummysec9 dummysec10 dummysec11 dummysec12
> dummysec13
> dummysec14 dummysec15 dummysec16 dummysec17
> dummycountry1
> dummycountry2 dummycountry3 dummycountry4 dummycountry5
> dummycountry6 dummycountry7 dummycountry8 dummycountry9
> dummycountry10 dummycountry11 dummycountry12
> dummycountry13
> dummycountry14 dummycountry15 dummycountry16
> dummycountry17
> dummycountry18 dummycountry19 dummycountry20
> dummycountry21
> dummycountry22 dummycountry23 dummycountry24
> dummycountry25
> dummycountry26 dummycountry27 dummycountry28
> dummycountry29
> wibe_src12
> --------------------------------------------------------------------------------
> Wald test of exogeneity: chi2(1) = 5.07 Prob > chi2 =
> 0.0244
>
> . overid, all
> o. operator not allowed
> r(101);
>
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