* Hausman and Taylor Method

clear 
set memory 40m
set more off

log using xthtaylor.log, replace

webuse xthtaylor1.dta,clear
save xthtaylor1.dta, replace

* use http://www.stata-press.com/data/r8/xthtaylor1, clear

use xthtaylor1.dta, clear

** Hausman-taylor estimator with only endogenous variables
correlate ui z1 z2 x1a x1b x2 eit
xthtaylor yit x1a x1b x2 z1 z2, endog(x2 z2) i(id)
xthtaylor yit x1a x1b x2 z1 z2, endog(x2 z2) i(id) t(t) amacurdy
xthtaylor yit x1a x1b x2 z1 z2, endog(x2 z2) i(id) t(t) small
xthtaylor yit x1a x1b x2 z1 z2, endog(x2 z2) i(id) t(t) amacurdy small

** Hausman-taylor estimator with constant variables
xthtaylor yit x1a x1b x2 z1 z2 ui, endog(x2 z2) constant(z1 z2 ui) i(id)
xthtaylor yit x1a x1b x2 z1 z2 ui, endog(x2 z2) constant(z1 z2 ui) i(id) t(t) amacurdy
xthtaylor yit x1a x1b x2 z1 z2 ui, endog(x2 z2) constant(z1 z2 ui) i(id) t(t) small

** Hausman-taylor estimator with varying variables
xthtaylor yit x1a x1b x2 z1 z2 ui, endog(x2 z2) varying(x2 x1a x1b) i(id)
xthtaylor yit x1a x1b x2 z1 z2 ui, endog(x2 z2) varying(x2 x1a x1b) i(id) t(t) amacurdy
xthtaylor yit x1a x1b x2 z1 z2 ui, endog(x2 z2) varying(x2 x1a x1b) i(id) t(t) small

clear
set memory 40m
set more off
set matsize 300

webuse psidextract.dta,clear
save psidextract.dta, replace

* use http://www.stata-press.com/data/r8/psidextract, clear

use psidextract.dta, clear
iis id
tis t

xtsum exp exp2 wks ms union, i(id)

** Hausman-taylor estimator with only endogenous variables
correlate fem blk occ south smsa ind ed

xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(exp exp2 wks ms union ed)
xthtaylor lwage occ south smsa ind exp* wks ms union fem blk ed, endog(exp exp2 wks ms union ed) amacurdy
xthtaylor lwage occ south smsa ind exp* wks ms union fem blk ed, endog(exp exp2 wks ms union ed) small
xthtaylor lwage occ south smsa ind exp* wks ms union fem blk ed, endog(exp exp2 wks ms union ed) amacurdy small

** Hausman-taylor estimator with constant variables
xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(exp exp2 wks ms union ed) /*
*/ constant(fem blk ed)
xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(exp exp2 wks ms union ed) /*
*/ constant(fem blk ed) amacurdy
xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(exp exp2 wks ms union ed) /*
*/ constant(fem blk ed) small

** Hausman-taylor estimator with varying variables
xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(exp exp2 wks ms union ed) /*
*/ varying(ms exp* occ south smsa ind wks union)
xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(exp exp2 wks ms union ed) /*
*/ varying(ms exp* occ south smsa ind wks union) amacurdy
xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(exp exp2 wks ms union ed) /*
*/ varying(ms exp* occ south smsa ind wks union) small
 
 
 
** Hausman-taylor estimator with constant variables
xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(exp exp2 wks ms union ed) constant(fem blk ed)
xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(exp exp2 wks ms union ed) constant(fem blk ed) amacurdy
xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(exp exp2 wks ms union ed) constant(fem blk ed) small

** Hausman-taylor estimator with varying variables
xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(exp exp2 wks ms union ed) varying(ms exp* occ south smsa ind wks union)
xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(exp exp2 wks ms union ed) varying(ms exp* occ south smsa ind wks union) amacurdy
xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(exp exp2 wks ms union ed) varying(ms exp* occ south smsa ind wks union) small