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Re: st: RE: overid with fixed effects
From
Carlos Avellaneda Suárez <[email protected]>
To
[email protected]
Subject
Re: st: RE: overid with fixed effects
Date
Thu, 27 Feb 2014 15:33:55 -0500
My guess is that -overid- cannot run when only one instrumental
variable is included in the model. You have to include 2 or more:
webuse laborsup
ivprobit fem_work kids (other_inc = male_educ), twostep
overid
Test of overidentifying restrictions:
Amemiya-Lee-Newey minimum chi-sq statistic 0.000 Chi-sq(0) P-value = .
ivprobit fem_work kids (other_inc = male_educ fem_educ ), twostep
overid
Test of overidentifying restrictions:
Amemiya-Lee-Newey minimum chi-sq statistic 68.754 Chi-sq(1)
P-value = 0.0000
Hope this helps.
Carlos
2014-02-27 14:58 GMT-05:00 Sorin Krammer <[email protected]>:
> Dear Mark,
>
> Thank you for your reply and the suggestion.
> I have re-run the regressions as suggested (i.e., without the omitted
> regressors) but overid
> still does not work properly. Regardless of specification, I get this
> output:
>
> . overid
>
> Test of overidentifying restrictions:
> Amemiya-Lee-Newey minimum chi-sq statistic 0.000 Chi-sq(0) P-value
> = .
>
>
> Any thoughts on this?
>
> Thank you.
> Sorin
>
>
> --------------------------------------------------------
> 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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>> * http://www.stata.com/help.cgi?search
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>
>
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