Wednesday, March 01, 2006

st: RE: xthataylor and time-invariant regressors

> 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...

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 > Chris > > > > * > * 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/


Tag:


Links to this post:

Create a Link



<< Home

This page is powered by Blogger. Isn't yours?