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Mark Schaffer replied to Bootstrapping a 3step regression program  insufficient observation error on later iterationsin GeneralThere's also some discussion of crossvalidation in the paper, if you're interested. The bit on the theoretical properties of CV is rather brief, though,...
 10 posts

Mark Schaffer replied to Bootstrapping a 3step regression program  insufficient observation error on later iterationsin GeneralA small extra comment in addition to what Achim says  you want to predict your optimal instrument well but not "too well", in the sense that...
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Hi Jing Pang. A very quick answer:
1. Most people would use the factor variable operator i. That would be the case in most settings, not...
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Mark Schaffer replied to lassopack & pdslasso: prediction & causal inference using lasso, squareroot lasso, adaptive lasso, elastic net or ridge regressionin GeneralRichard:
I just had a look at plogit (penalised log it) by Tony Brady and Gareth Ambler, available here:
net from http://ww...
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Mark Schaffer replied to lassopack & pdslasso: prediction & causal inference using lasso, squareroot lasso, adaptive lasso, elastic net or ridge regressionin GeneralUpdate now available on SSC (thanks as usual to Kit Baum): rlasso, pdslasso and ivlasso now support survey weights (actually pweights and aweights)....
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Jeff Wooldridge's panel data book discusses this. It also comes up on Statalist from time to time.
Short version: basic IV is fine (consistent...
 7 posts
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Very very late to respond to this, but anyway...
It's likely that the lasso routines in our Stata package LASSOPACK would mean you could...
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It's more of a sensible precaution than an absolute requirement. Factor variables are created by Stata "on the fly", by default a variable for...
 8 posts
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A few suggestions:
Don't use factor variables for the endog vars and IVs. Create them by hand.
Partialling out is very easy....
 8 posts
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Michael,
You need to do the partialling out first, by hand, and the do your IV estimation as usual. Then your postestimation predicted values...
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You installed ivreg2, but you didn't install xtivreg2.
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MG,
The latest version of ivreg2 is 4.1.10, so you are using a very old version. If you update using the SSC install command, it may fix...
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Come to think of it, xtoverid has an undocumented option, noi (or noisily). If you say xtoverid, noi after your xtivreg estimation, it will report...
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(2a) is wrong because that's not how G2SLS or EC2SLS work. Your instruments (ELA2 ELA3 ELA4) are transformed internally by xtivreg before being used to...
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The IV estimators for panel data and random effects in xtivreg are G2SLS or EC2SLS (I think I got the acronyms right). These are implemented by using...
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