xthtaylor.hlp

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{smcl}
{* 07apr2005}{...}
{cmd:help xthtaylor} {right:dialog:  {bf:{dialog xthtaylor}} {space 14}}
{right:also see:  {help xthtaylor postestimation}}
{hline}

{title:Title}

{p2colset 5 23 25 2}{...}
{p2col :{hi:[XT] xthtaylor} {hline 2}}Hausman-Taylor estimator for error-components models{p_end}
{p2colreset}{...}


{title:Syntax}

{p 8 18 2}{cmd:xthtaylor} {depvar} {indepvars} {ifin} {weight} 
{cmd:,} {opth e:ndog(varlist)} [{it:options}]

{synoptset 23 tabbed}{...}
{synopthdr}
{synoptline}
{syntab:Main}
{synopt :{opth "i(varname:varname_i)"}}use {it:varname_i} as the panel ID variable{p_end}
{synopt :{opth "t(varname:varname_t)"}}use {it:varname_t} as the time variable; required if {opt amacurdy} specified{p_end}
{synopt :{opt noc:onstant}}suppress constant term{p_end}
{p2coldent :* {opth e:ndog(varlist)}}explanatory variables in {indepvars} to be treated as endogenous{p_end}
{synopt :{opth cons:tant(varlist:varlist_ti)}}independent variables that are constant within panel{p_end}
{synopt :{opth v:arying(varlist:varlist_tv)}}independent variables that are time varying within panel{p_end}
{synopt :{opt am:acurdy}}fit model based on Amemiya and MaCurdy estimator{p_end}

{syntab:SE}
{synopt :{opth vce(vcetype)}}{it:vcetype} may be {opt boot:strap} or {opt jack:knife}{p_end}

{syntab:Reporting}
{synopt :{opt level(#)}}set confidence level; default is {cmd:level(95)}{p_end}
{synopt :{opt s:mall}}report small-sample statistics{p_end}
{synoptline}
{p2colreset}{...}
{phang}
* {opt endog(varlist)} is required.{p_end}
{phang}
You must {cmd:tsset} your data before using {cmd:xthtaylor}; see {helpb tsset}.{p_end}
{phang}
{it:depvar}, {it:indepvars}, and all {it:varlists} may contain time-series operators; see {help tsvarlist}.{p_end}
{phang}
{opt bootstrap}, {opt by}, {opt jackknife}, {opt statsby}, and {opt xi} may be used with
{cmd:xthtaylor}; see {help prefix}.{p_end}
{phang}
{opt iweight}s and {opt fweight}s are allowed; see {help weight}. {p_end}
{phang}
See {help xthtaylor postestimation} for features available after estimation.{p_end}


{title:Description}

{pstd}
{cmd: xthtaylor} fits panel-data random-effects models in which some of
the covariates are correlated with the unobserved individual-level
random effect.  The estimators, originally proposed by Hausman & Taylor (1981)
and Amemiya & MaCurdy (1986), are based on instrumental variables.  By
default, {cmd:xthtaylor} uses the Hausman-Taylor estimator.  When the
{cmd:amacurdy} option is specified, {cmd:xthtaylor} uses the Amemiya-MaCurdy
estimator.

{pstd}
Although the estimators implemented in {cmd:xthtaylor} and {cmd:xtivreg} (see
{helpb xtivreg}) use the method of instrumental variables, each command is
designed for very different problems.  The estimators implemented in
{cmd:xtivreg} assume that a subset of the explanatory variables in the model
are correlated with the idiosyncratic error e[i,t].  In contrast, the
Hausman-Taylor and Amemiya-MaCurdy estimators that are implemented in
{cmd:xthtaylor} assume that some of the explanatory variables are correlated
with the individual-level random-effects, u[i], but that none of the
explanatory variables are correlated with the idiosyncratic error e[i,t].


{title:Options}

{dlgtab:Main}

{phang}
{opth "i(varname:varname_i)"}, {opth "t(varname:varname_t)"}; see
    {help estimation options##i():estimation options}.

{phang}
{opth endog(varlist)} specifies a subset of explanatory variables in
{indepvars} be treated as endogenous variables, i.e., the explanatory
variables that are assumed to be correlated with the unobserved random effect.
{opt endog()} is required.

{phang}
{opth "constant(varlist:varlist_ti)"} specifies the subset of variables in
{indepvars} that are time invariant, that is, constant within panel.  By using
this option, you not only assert that the variables specified in
{it:varlist_ti} are time invariant, but also that all other variables in
{it:indepvars} are time varying.  If this assertion is false, {cmd:xthtaylor}
does not perform the estimation and will issue an error message.
{cmd:xthtaylor} automatically detects which variables are time invariant and
which are not.  However, users may want to check their understanding of the
data and specify which variables are time invariant and which are not.

{phang}
{opth "varying(varlist:varlist_tv)"} specifies the subset of the variables in
{indepvars} that are time varying.  By using this option, you not only assert
that the variables specified in {it:varlist_tv} are time varying, but also
that all other variables in {it:indepvars} are time-invariant.  If this
assertion is false, {cmd:xthtaylor} does not perform the estimation and will
issue an error message.  {cmd:xthtaylor} automatically detects which variables
are time varying and which are not.  However, users may want to check their
understanding of the data and specify which variables are time varying and
which are not.

{phang}
{cmd:amacurdy} specifies that the Amemiya-MaCurdy estimator be used.  This
estimator uses extra instruments to gain efficiency at the cost of additional
assumptions on the data-generating process.  This option may only be specified
for samples containing balanced panels, and weights may not be specified.  The
panels must also have a common initial time period.

{dlgtab:SE}

{phang}
{opt vce(vcetype)}; see {it:{help vce_option}}.

{dlgtab:Reporting}

{phang}
{opt level(#)}; see {help estimation options##level():estimation options}.

{phang}
{opt small} specifies that the {it:p}-values from the Wald tests in
the output and all subsequent Wald tests obtained via {cmd:test} 
use {it:t} and {it:F} distributions instead of the large-sample normal
and chi-squared distributions.  By default, the {it:p}-values are obtained
using the normal and chi-squared distributions.


{title:Examples}

{phang}{cmd:. xthtaylor lwage wks south smsa ms exp exp2 occ ind union fem blk ed, endog(exp exp2 occ ind union ed) i(id)}

{phang}{cmd:. xthtaylor lwage wks south smsa ms exp exp2 occ ind union fem blk ed, endog(exp exp2 occ ind union ed) constant(fem blk ed) i(id)}

{phang}{cmd:. xthtaylor lwage wks south smsa ms exp exp2 occ ind union fem blk ed, endog(exp exp2 occ ind union ed) amacurdy i(id) t(t)}


{title:Also see}

{psee}
Manual:  {bf:[XT] xthtaylor}

{psee}
Online:  {help xthtaylor postestimation};{break}
{help xt}; {helpb tsset},
{helpb xtdata}, {helpb xtdes}, {helpb xtgls},
{helpb xtivreg}, {helpb xtreg}, {helpb xtsum}, {helpb xttab}
{p_end}