Announcement
Collapse
No announcement yet.
302 results in 0.1384 seconds.
You can also choose from the popular tags.

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...
 10 posts
Leave a comment:

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...
 3 posts
Leave a comment:

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...
 9 posts
Leave a comment:

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)....
 9 posts
Leave a comment:

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
Leave a comment:

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...
 2 posts
Leave a comment:

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
 1 like
Leave a comment:

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
 1 like
Leave a comment:

Michael,
You need to do the partialling out first, by hand, and the do your IV estimation as usual. Then your postestimation predicted values...
 8 posts
Leave a comment:

You installed ivreg2, but you didn't install xtivreg2.
 3 posts
Leave a comment:

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...
 9 posts
Leave a comment:

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...
 10 posts
Leave a comment:

(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...
 10 posts
Leave a comment:

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...
 10 posts
Leave a comment:
Leave a comment: