Thursday, March 02, 2006

Re: st: RE: xthataylor and time-invariant regressors

Thank you very much for your answer! (I had found the topic but not the answer to this issue) best regards Christopher

This is an issue that has been discussed on this list before. I don't think that there is a valid econometric reason for requiring that the user specifies time-invariant endogenous regressors.

An unsupported (and only superficially tested) work-around is to comment out the following code in xthtaylor.ado:

if "`zvar2'" == "" { di as err "There are no time-invariant endogeneous " /* */ "variables in the model." local ok = 0 }

Jean Salvati

> -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Christopher.Grigoriou@unil.ch > Sent: Wednesday, March 01, 2006 7:55 AM > To: statalist@hsphsun2.harvard.edu > Subject: st: xthataylor and time-invariant regressors > > Dear Statalisters, > > I want to estimate the impact of an invariant variable in a > panel data framework. Since the Hausman test rejected the use > of the random effect model, I have to use the Hausman-Taylor > estimator. > > However, using the xthtaylor command that performs Hausman > and Taylor estimation in stata9, stata "asks" me to specify > not only time-varying but also time-invariant endogenous > regressors, while I have only time-varying endogenous regressors. > Including no time-invariant endogenous regressors implies an > error message...including some time-invariant endogenous > regressors (almost randomly) results in strange results > (unsurprisingly). > > Does anyone have any idea to solve this problem? > > Many thanks > Christopher > > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ >

* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


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