--------------------------------------------------------------------------------- log: C:\Documents and Settings\jlee\My Documents\Teaching\EC671\xthtaylor > .log log type: text opened on: 24 Aug 2007, 01:49:20 . . webuse xthtaylor1.dta,clear . save xthtaylor1.dta, replace file xthtaylor1.dta saved . . * 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 (obs=10000) | ui z1 z2 x1a x1b x2 eit -------------+--------------------------------------------------------------- ui | 1.0000 z1 | 0.0268 1.0000 z2 | 0.8777 0.0286 1.0000 x1a | -0.0145 0.0065 -0.0034 1.0000 x1b | 0.0026 0.0079 0.0038 -0.0030 1.0000 x2 | 0.8765 0.0191 0.7671 -0.0192 0.0037 1.0000 eit | 0.0060 -0.0198 0.0123 -0.0100 -0.0138 0.0092 1.0000 . xthtaylor yit x1a x1b x2 z1 z2, endog(x2 z2) i(id) Hausman-Taylor estimation Number of obs = 10000 Group variable (i): id Number of groups = 1000 Obs per group: min = 10 avg = 10 max = 10 Random effects u_i ~ i.i.d. Wald chi2(5) = 24172.91 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ yit | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | x1a | 2.959736 .0330233 89.63 0.000 2.895011 3.02446 x1b | 2.953891 .0333051 88.69 0.000 2.888614 3.019168 TVendogenous | x2 | 3.022685 .033085 91.36 0.000 2.957839 3.08753 TIexogenous | z1 | 2.709179 .587031 4.62 0.000 1.55862 3.859739 TIendogenous | z2 | 9.525973 8.572966 1.11 0.266 -7.276732 26.32868 | _cons | 2.837072 .4276595 6.63 0.000 1.998875 3.675269 -------------+---------------------------------------------------------------- sigma_u | 8.729479 sigma_e | 3.1657492 rho | .88377062 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor yit x1a x1b x2 z1 z2, endog(x2 z2) i(id) t(t) amacurdy Amemiya-MaCurdy estimation Number of obs = 10000 Group variable (i): id Number of groups = 1000 Obs per group: min = 10 avg = 10 max = 10 Random effects u_i ~ i.i.d. Wald chi2(5) = 26543.37 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ yit | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | x1a | 2.959344 .0315431 93.82 0.000 2.89752 3.021167 x1b | 2.954281 .0318127 92.86 0.000 2.891929 3.016633 TVendogenous | x2 | 3.023333 .0316108 95.64 0.000 2.961377 3.085289 TIexogenous | z1 | 2.934426 .275198 10.66 0.000 2.395048 3.473804 TIendogenous | z2 | 5.780192 1.02449 5.64 0.000 3.772229 7.788155 | _cons | 2.979106 .2683036 11.10 0.000 2.453241 3.504971 -------------+---------------------------------------------------------------- sigma_u | 8.729479 sigma_e | 3.1657492 rho | .88377062 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor yit x1a x1b x2 z1 z2, endog(x2 z2) i(id) t(t) small Hausman-Taylor estimation Number of obs = 10000 Group variable (i): id Number of groups = 1000 Obs per group: min = 10 avg = 10 max = 10 Random effects u_i ~ i.i.d. Wald chi2(5) = 24172.91 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ yit | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | x1a | 2.959736 .0330233 89.63 0.000 2.895003 3.024468 x1b | 2.953891 .0333051 88.69 0.000 2.888606 3.019176 TVendogenous | x2 | 3.022685 .033085 91.36 0.000 2.957832 3.087538 TIexogenous | z1 | 2.709179 .587031 4.62 0.000 1.55848 3.859878 TIendogenous | z2 | 9.525973 8.572966 1.11 0.267 -7.278766 26.33071 | _cons | 2.837072 .4276595 6.63 0.000 1.998774 3.675371 -------------+---------------------------------------------------------------- sigma_u | 8.729479 sigma_e | 3.1657492 rho | .88377062 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor yit x1a x1b x2 z1 z2, endog(x2 z2) i(id) t(t) amacurdy small Amemiya-MaCurdy estimation Number of obs = 10000 Group variable (i): id Number of groups = 1000 Obs per group: min = 10 avg = 10 max = 10 Random effects u_i ~ i.i.d. Wald chi2(5) = 26543.37 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ yit | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | x1a | 2.959344 .0315431 93.82 0.000 2.897513 3.021175 x1b | 2.954281 .0318127 92.86 0.000 2.891922 3.01664 TVendogenous | x2 | 3.023333 .0316108 95.64 0.000 2.961369 3.085296 TIexogenous | z1 | 2.934426 .275198 10.66 0.000 2.394983 3.47387 TIendogenous | z2 | 5.780192 1.02449 5.64 0.000 3.771985 7.788398 | _cons | 2.979106 .2683036 11.10 0.000 2.453177 3.505035 -------------+---------------------------------------------------------------- sigma_u | 8.729479 sigma_e | 3.1657492 rho | .88377062 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . . ** Hausman-taylor estimator with constant variables . xthtaylor yit x1a x1b x2 z1 z2 ui, endog(x2 z2) constant(z1 z2 ui) i(id) Hausman-Taylor estimation Number of obs = 10000 Group variable (i): id Number of groups = 1000 Obs per group: min = 10 avg = 10 max = 10 Random effects u_i ~ i.i.d. Wald chi2(6) = 283334.76 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ yit | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | x1a | 2.960114 .033041 89.59 0.000 2.895355 3.024873 x1b | 2.955181 .0317271 93.14 0.000 2.892997 3.017365 TVendogenous | x2 | 3.02257 .0330989 91.32 0.000 2.957697 3.087443 TIexogenous | z1 | 2.93147 .0352725 83.11 0.000 2.862337 3.000603 ui | .8449571 .1870868 4.52 0.000 .4782738 1.21164 TIendogenous | z2 | 3.507141 .6241467 5.62 0.000 2.283835 4.730446 | _cons | 2.995308 .0352287 85.02 0.000 2.926261 3.064355 -------------+---------------------------------------------------------------- sigma_u | .41494012 sigma_e | 3.1657492 rho | .01688963 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor yit x1a x1b x2 z1 z2 ui, endog(x2 z2) constant(z1 z2 ui) i(id) t(t) > amacurdy Amemiya-MaCurdy estimation Number of obs = 10000 Group variable (i): id Number of groups = 1000 Obs per group: min = 10 avg = 10 max = 10 Random effects u_i ~ i.i.d. Wald chi2(6) = 288521.34 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ yit | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | x1a | 2.968687 .0313966 94.55 0.000 2.907151 3.030223 x1b | 2.956568 .0314129 94.12 0.000 2.894999 3.018136 TVendogenous | x2 | 3.021085 .0327859 92.15 0.000 2.956826 3.085344 TIexogenous | z1 | 2.936984 .0344449 85.27 0.000 2.869473 3.004495 ui | 1.001444 .0749004 13.37 0.000 .8546424 1.148247 TIendogenous | z2 | 2.985174 .24794 12.04 0.000 2.49922 3.471127 | _cons | 3.002082 .0341385 87.94 0.000 2.935172 3.068992 -------------+---------------------------------------------------------------- sigma_u | .41494012 sigma_e | 3.1657492 rho | .01688963 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor yit x1a x1b x2 z1 z2 ui, endog(x2 z2) constant(z1 z2 ui) i(id) t(t) > small Hausman-Taylor estimation Number of obs = 10000 Group variable (i): id Number of groups = 1000 Obs per group: min = 10 avg = 10 max = 10 Random effects u_i ~ i.i.d. Wald chi2(6) = 283334.76 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ yit | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | x1a | 2.960114 .033041 89.59 0.000 2.895347 3.024881 x1b | 2.955181 .0317271 93.14 0.000 2.89299 3.017373 TVendogenous | x2 | 3.02257 .0330989 91.32 0.000 2.957689 3.08745 TIexogenous | z1 | 2.93147 .0352725 83.11 0.000 2.862328 3.000611 ui | .8449571 .1870868 4.52 0.000 .4782294 1.211685 TIendogenous | z2 | 3.507141 .6241467 5.62 0.000 2.283687 4.730594 | _cons | 2.995308 .0352287 85.02 0.000 2.926253 3.064363 -------------+---------------------------------------------------------------- sigma_u | .41494012 sigma_e | 3.1657492 rho | .01688963 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . . ** Hausman-taylor estimator with varying variables . xthtaylor yit x1a x1b x2 z1 z2 ui, endog(x2 z2) varying(x2 x1a x1b) i(id) Hausman-Taylor estimation Number of obs = 10000 Group variable (i): id Number of groups = 1000 Obs per group: min = 10 avg = 10 max = 10 Random effects u_i ~ i.i.d. Wald chi2(6) = 283334.76 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ yit | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | x1a | 2.960114 .033041 89.59 0.000 2.895355 3.024873 x1b | 2.955181 .0317271 93.14 0.000 2.892997 3.017365 TVendogenous | x2 | 3.02257 .0330989 91.32 0.000 2.957697 3.087443 TIexogenous | z1 | 2.93147 .0352725 83.11 0.000 2.862337 3.000603 ui | .8449571 .1870868 4.52 0.000 .4782738 1.21164 TIendogenous | z2 | 3.507141 .6241467 5.62 0.000 2.283835 4.730446 | _cons | 2.995308 .0352287 85.02 0.000 2.926261 3.064355 -------------+---------------------------------------------------------------- sigma_u | .41494012 sigma_e | 3.1657492 rho | .01688963 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor yit x1a x1b x2 z1 z2 ui, endog(x2 z2) varying(x2 x1a x1b) i(id) t(t > ) amacurdy Amemiya-MaCurdy estimation Number of obs = 10000 Group variable (i): id Number of groups = 1000 Obs per group: min = 10 avg = 10 max = 10 Random effects u_i ~ i.i.d. Wald chi2(6) = 288521.34 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ yit | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | x1a | 2.968687 .0313966 94.55 0.000 2.907151 3.030223 x1b | 2.956568 .0314129 94.12 0.000 2.894999 3.018136 TVendogenous | x2 | 3.021085 .0327859 92.15 0.000 2.956826 3.085344 TIexogenous | z1 | 2.936984 .0344449 85.27 0.000 2.869473 3.004495 ui | 1.001444 .0749004 13.37 0.000 .8546424 1.148247 TIendogenous | z2 | 2.985174 .24794 12.04 0.000 2.49922 3.471127 | _cons | 3.002082 .0341385 87.94 0.000 2.935172 3.068992 -------------+---------------------------------------------------------------- sigma_u | .41494012 sigma_e | 3.1657492 rho | .01688963 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor yit x1a x1b x2 z1 z2 ui, endog(x2 z2) varying(x2 x1a x1b) i(id) t(t > ) small Hausman-Taylor estimation Number of obs = 10000 Group variable (i): id Number of groups = 1000 Obs per group: min = 10 avg = 10 max = 10 Random effects u_i ~ i.i.d. Wald chi2(6) = 283334.76 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ yit | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | x1a | 2.960114 .033041 89.59 0.000 2.895347 3.024881 x1b | 2.955181 .0317271 93.14 0.000 2.89299 3.017373 TVendogenous | x2 | 3.02257 .0330989 91.32 0.000 2.957689 3.08745 TIexogenous | z1 | 2.93147 .0352725 83.11 0.000 2.862328 3.000611 ui | .8449571 .1870868 4.52 0.000 .4782294 1.211685 TIendogenous | z2 | 3.507141 .6241467 5.62 0.000 2.283687 4.730594 | _cons | 2.995308 .0352287 85.02 0.000 2.926253 3.064363 -------------+---------------------------------------------------------------- sigma_u | .41494012 sigma_e | 3.1657492 rho | .01688963 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . . clear . set memory 40m (40960k) . set more off . set matsize 300 . . webuse psidextract.dta,clear . save psidextract.dta, replace file psidextract.dta saved . . * 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) Variable | Mean Std. Dev. Min Max | Observations -----------------+--------------------------------------------+---------------- exp overall | 19.85378 10.96637 1 51 | N = 4165 between | 10.79018 4 48 | n = 595 within | 2.00024 16.85378 22.85378 | T = 7 | | exp2 overall | 514.405 496.9962 1 2601 | N = 4165 between | 489.0495 20 2308 | n = 595 within | 90.44581 231.405 807.405 | T = 7 | | wks overall | 46.81152 5.129098 5 52 | N = 4165 between | 3.284016 31.57143 51.57143 | n = 595 within | 3.941881 12.2401 63.66867 | T = 7 | | ms overall | .8144058 .3888256 0 1 | N = 4165 between | .3686109 0 1 | n = 595 within | .1245274 -.0427371 1.671549 | T = 7 | | union overall | .3639856 .4812023 0 1 | N = 4165 between | .4543848 0 1 | n = 595 within | .1593351 -.4931573 1.221128 | T = 7 . . ** Hausman-taylor estimator with only endogenous variables . correlate fem blk occ south smsa ind ed (obs=4165) | fem blk occ south smsa ind ed -------------+--------------------------------------------------------------- fem | 1.0000 blk | 0.2086 1.0000 occ | -0.0847 0.0837 1.0000 south | 0.0516 0.1218 0.0413 1.0000 smsa | 0.1044 0.1154 -0.2018 -0.1350 1.0000 ind | -0.1778 -0.0475 0.2260 -0.0769 -0.0689 1.0000 ed | -0.0012 -0.1196 -0.6194 -0.1216 0.1843 -0.2365 1.0000 . . xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(ex > p exp2 wks ms union ed) Hausman-Taylor estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6891.87 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0207047 .0137809 -1.50 0.133 -.0477149 .0063055 south | .0074398 .031955 0.23 0.816 -.0551908 .0700705 smsa | -.0418334 .0189581 -2.21 0.027 -.0789906 -.0046761 ind | .0136039 .0152374 0.89 0.372 -.0162608 .0434686 TVendogenous | exp | .1131328 .002471 45.79 0.000 .1082898 .1179758 exp2 | -.0004189 .0000546 -7.67 0.000 -.0005259 -.0003119 wks | .0008374 .0005997 1.40 0.163 -.0003381 .0020129 ms | -.0298508 .01898 -1.57 0.116 -.0670508 .0073493 union | .0327714 .0149084 2.20 0.028 .0035514 .0619914 TIexogenous | fem | -.1309236 .126659 -1.03 0.301 -.3791707 .1173234 blk | -.2857479 .1557019 -1.84 0.066 -.5909179 .0194221 TIendogenous | ed | .137944 .0212485 6.49 0.000 .0962977 .1795902 | _cons | 2.912726 .2836522 10.27 0.000 2.356778 3.468674 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor lwage occ south smsa ind exp* wks ms union fem blk ed, endog(exp ex > p2 wks ms union ed) amacurdy Amemiya-MaCurdy estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6879.20 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0208498 .0137653 -1.51 0.130 -.0478292 .0061297 south | .0072818 .0319365 0.23 0.820 -.0553126 .0698761 smsa | -.0419507 .0189471 -2.21 0.027 -.0790864 -.0048149 ind | .0136289 .015229 0.89 0.371 -.0162194 .0434771 TVendogenous | exp | .1129704 .0024688 45.76 0.000 .1081316 .1178093 exp2 | -.0004214 .0000546 -7.72 0.000 -.0005283 -.0003145 wks | .0008381 .0005995 1.40 0.162 -.0003368 .002013 ms | -.0300894 .0189674 -1.59 0.113 -.0672649 .0070861 union | .0324752 .0148939 2.18 0.029 .0032837 .0616667 TIexogenous | fem | -.132008 .1266039 -1.04 0.297 -.380147 .1161311 blk | -.2859004 .1554857 -1.84 0.066 -.5906468 .0188459 TIendogenous | ed | .1372049 .0205695 6.67 0.000 .0968894 .1775205 | _cons | 2.927338 .2751274 10.64 0.000 2.388098 3.466578 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor lwage occ south smsa ind exp* wks ms union fem blk ed, endog(exp ex > p2 wks ms union ed) small Hausman-Taylor estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6891.87 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0207047 .0137809 -1.50 0.133 -.0477227 .0063133 south | .0074398 .031955 0.23 0.816 -.0552091 .0700888 smsa | -.0418334 .0189581 -2.21 0.027 -.0790014 -.0046653 ind | .0136039 .0152374 0.89 0.372 -.0162695 .0434773 TVendogenous | exp | .1131328 .002471 45.79 0.000 .1082884 .1179772 exp2 | -.0004189 .0000546 -7.67 0.000 -.0005259 -.0003118 wks | .0008374 .0005997 1.40 0.163 -.0003384 .0020132 ms | -.0298508 .01898 -1.57 0.116 -.0670617 .0073601 union | .0327714 .0149084 2.20 0.028 .0035429 .062 TIexogenous | fem | -.1309236 .126659 -1.03 0.301 -.3792431 .1173958 blk | -.2857479 .1557019 -1.84 0.067 -.5910069 .0195111 TIendogenous | ed | .137944 .0212485 6.49 0.000 .0962855 .1796024 | _cons | 2.912726 .2836522 10.27 0.000 2.356616 3.468837 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor lwage occ south smsa ind exp* wks ms union fem blk ed, endog(exp ex > p2 wks ms union ed) amacurdy small Amemiya-MaCurdy estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6879.20 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0208498 .0137653 -1.51 0.130 -.0478371 .0061376 south | .0072818 .0319365 0.23 0.820 -.0553308 .0698944 smsa | -.0419507 .0189471 -2.21 0.027 -.0790972 -.0048041 ind | .0136289 .015229 0.89 0.371 -.0162281 .0434858 TVendogenous | exp | .1129704 .0024688 45.76 0.000 .1081302 .1178107 exp2 | -.0004214 .0000546 -7.72 0.000 -.0005284 -.0003144 wks | .0008381 .0005995 1.40 0.162 -.0003372 .0020133 ms | -.0300894 .0189674 -1.59 0.113 -.0672758 .0070969 union | .0324752 .0148939 2.18 0.029 .0032752 .0616752 TIexogenous | fem | -.132008 .1266039 -1.04 0.297 -.3802193 .1162034 blk | -.2859004 .1554857 -1.84 0.066 -.5907356 .0189348 TIendogenous | ed | .1372049 .0205695 6.67 0.000 .0968776 .1775323 | _cons | 2.927338 .2751274 10.64 0.000 2.387941 3.466735 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . . ** Hausman-taylor estimator with constant variables . xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(ex > p exp2 wks ms union ed) /* > */ constant(fem blk ed) Hausman-Taylor estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6891.87 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0207047 .0137809 -1.50 0.133 -.0477149 .0063055 south | .0074398 .031955 0.23 0.816 -.0551908 .0700705 smsa | -.0418334 .0189581 -2.21 0.027 -.0789906 -.0046761 ind | .0136039 .0152374 0.89 0.372 -.0162608 .0434686 TVendogenous | exp | .1131328 .002471 45.79 0.000 .1082898 .1179758 exp2 | -.0004189 .0000546 -7.67 0.000 -.0005259 -.0003119 wks | .0008374 .0005997 1.40 0.163 -.0003381 .0020129 ms | -.0298508 .01898 -1.57 0.116 -.0670508 .0073493 union | .0327714 .0149084 2.20 0.028 .0035514 .0619914 TIexogenous | fem | -.1309236 .126659 -1.03 0.301 -.3791707 .1173234 blk | -.2857479 .1557019 -1.84 0.066 -.5909179 .0194221 TIendogenous | ed | .137944 .0212485 6.49 0.000 .0962977 .1795902 | _cons | 2.912726 .2836522 10.27 0.000 2.356778 3.468674 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(ex > p exp2 wks ms union ed) /* > */ constant(fem blk ed) amacurdy Amemiya-MaCurdy estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6879.20 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0208498 .0137653 -1.51 0.130 -.0478292 .0061297 south | .0072818 .0319365 0.23 0.820 -.0553126 .0698761 smsa | -.0419507 .0189471 -2.21 0.027 -.0790864 -.0048149 ind | .0136289 .015229 0.89 0.371 -.0162194 .0434771 TVendogenous | exp | .1129704 .0024688 45.76 0.000 .1081316 .1178093 exp2 | -.0004214 .0000546 -7.72 0.000 -.0005283 -.0003145 wks | .0008381 .0005995 1.40 0.162 -.0003368 .002013 ms | -.0300894 .0189674 -1.59 0.113 -.0672649 .0070861 union | .0324752 .0148939 2.18 0.029 .0032837 .0616667 TIexogenous | fem | -.132008 .1266039 -1.04 0.297 -.380147 .1161311 blk | -.2859004 .1554857 -1.84 0.066 -.5906468 .0188459 TIendogenous | ed | .1372049 .0205695 6.67 0.000 .0968894 .1775205 | _cons | 2.927338 .2751274 10.64 0.000 2.388098 3.466578 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(ex > p exp2 wks ms union ed) /* > */ constant(fem blk ed) small Hausman-Taylor estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6891.87 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0207047 .0137809 -1.50 0.133 -.0477227 .0063133 south | .0074398 .031955 0.23 0.816 -.0552091 .0700888 smsa | -.0418334 .0189581 -2.21 0.027 -.0790014 -.0046653 ind | .0136039 .0152374 0.89 0.372 -.0162695 .0434773 TVendogenous | exp | .1131328 .002471 45.79 0.000 .1082884 .1179772 exp2 | -.0004189 .0000546 -7.67 0.000 -.0005259 -.0003118 wks | .0008374 .0005997 1.40 0.163 -.0003384 .0020132 ms | -.0298508 .01898 -1.57 0.116 -.0670617 .0073601 union | .0327714 .0149084 2.20 0.028 .0035429 .062 TIexogenous | fem | -.1309236 .126659 -1.03 0.301 -.3792431 .1173958 blk | -.2857479 .1557019 -1.84 0.067 -.5910069 .0195111 TIendogenous | ed | .137944 .0212485 6.49 0.000 .0962855 .1796024 | _cons | 2.912726 .2836522 10.27 0.000 2.356616 3.468837 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . . ** Hausman-taylor estimator with varying variables . xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(ex > p exp2 wks ms union ed) /* > */ varying(ms exp* occ south smsa ind wks union) Hausman-Taylor estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6891.87 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0207047 .0137809 -1.50 0.133 -.0477149 .0063055 south | .0074398 .031955 0.23 0.816 -.0551908 .0700705 smsa | -.0418334 .0189581 -2.21 0.027 -.0789906 -.0046761 ind | .0136039 .0152374 0.89 0.372 -.0162608 .0434686 TVendogenous | exp | .1131328 .002471 45.79 0.000 .1082898 .1179758 exp2 | -.0004189 .0000546 -7.67 0.000 -.0005259 -.0003119 wks | .0008374 .0005997 1.40 0.163 -.0003381 .0020129 ms | -.0298508 .01898 -1.57 0.116 -.0670508 .0073493 union | .0327714 .0149084 2.20 0.028 .0035514 .0619914 TIexogenous | fem | -.1309236 .126659 -1.03 0.301 -.3791707 .1173234 blk | -.2857479 .1557019 -1.84 0.066 -.5909179 .0194221 TIendogenous | ed | .137944 .0212485 6.49 0.000 .0962977 .1795902 | _cons | 2.912726 .2836522 10.27 0.000 2.356778 3.468674 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(ex > p exp2 wks ms union ed) /* > */ varying(ms exp* occ south smsa ind wks union) amacurdy Amemiya-MaCurdy estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6879.20 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0208498 .0137653 -1.51 0.130 -.0478292 .0061297 south | .0072818 .0319365 0.23 0.820 -.0553126 .0698761 smsa | -.0419507 .0189471 -2.21 0.027 -.0790864 -.0048149 ind | .0136289 .015229 0.89 0.371 -.0162194 .0434771 TVendogenous | exp | .1129704 .0024688 45.76 0.000 .1081316 .1178093 exp2 | -.0004214 .0000546 -7.72 0.000 -.0005283 -.0003145 wks | .0008381 .0005995 1.40 0.162 -.0003368 .002013 ms | -.0300894 .0189674 -1.59 0.113 -.0672649 .0070861 union | .0324752 .0148939 2.18 0.029 .0032837 .0616667 TIexogenous | fem | -.132008 .1266039 -1.04 0.297 -.380147 .1161311 blk | -.2859004 .1554857 -1.84 0.066 -.5906468 .0188459 TIendogenous | ed | .1372049 .0205695 6.67 0.000 .0968894 .1775205 | _cons | 2.927338 .2751274 10.64 0.000 2.388098 3.466578 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(ex > p exp2 wks ms union ed) /* > */ varying(ms exp* occ south smsa ind wks union) small Hausman-Taylor estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6891.87 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0207047 .0137809 -1.50 0.133 -.0477227 .0063133 south | .0074398 .031955 0.23 0.816 -.0552091 .0700888 smsa | -.0418334 .0189581 -2.21 0.027 -.0790014 -.0046653 ind | .0136039 .0152374 0.89 0.372 -.0162695 .0434773 TVendogenous | exp | .1131328 .002471 45.79 0.000 .1082884 .1179772 exp2 | -.0004189 .0000546 -7.67 0.000 -.0005259 -.0003118 wks | .0008374 .0005997 1.40 0.163 -.0003384 .0020132 ms | -.0298508 .01898 -1.57 0.116 -.0670617 .0073601 union | .0327714 .0149084 2.20 0.028 .0035429 .062 TIexogenous | fem | -.1309236 .126659 -1.03 0.301 -.3792431 .1173958 blk | -.2857479 .1557019 -1.84 0.067 -.5910069 .0195111 TIendogenous | ed | .137944 .0212485 6.49 0.000 .0962855 .1796024 | _cons | 2.912726 .2836522 10.27 0.000 2.356616 3.468837 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . . . . ** Hausman-taylor estimator with constant variables . xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(ex > p exp2 wks ms union ed) constant(fem blk ed) Hausman-Taylor estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6891.87 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0207047 .0137809 -1.50 0.133 -.0477149 .0063055 south | .0074398 .031955 0.23 0.816 -.0551908 .0700705 smsa | -.0418334 .0189581 -2.21 0.027 -.0789906 -.0046761 ind | .0136039 .0152374 0.89 0.372 -.0162608 .0434686 TVendogenous | exp | .1131328 .002471 45.79 0.000 .1082898 .1179758 exp2 | -.0004189 .0000546 -7.67 0.000 -.0005259 -.0003119 wks | .0008374 .0005997 1.40 0.163 -.0003381 .0020129 ms | -.0298508 .01898 -1.57 0.116 -.0670508 .0073493 union | .0327714 .0149084 2.20 0.028 .0035514 .0619914 TIexogenous | fem | -.1309236 .126659 -1.03 0.301 -.3791707 .1173234 blk | -.2857479 .1557019 -1.84 0.066 -.5909179 .0194221 TIendogenous | ed | .137944 .0212485 6.49 0.000 .0962977 .1795902 | _cons | 2.912726 .2836522 10.27 0.000 2.356778 3.468674 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(ex > p exp2 wks ms union ed) constant(fem blk ed) amacurdy Amemiya-MaCurdy estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6879.20 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0208498 .0137653 -1.51 0.130 -.0478292 .0061297 south | .0072818 .0319365 0.23 0.820 -.0553126 .0698761 smsa | -.0419507 .0189471 -2.21 0.027 -.0790864 -.0048149 ind | .0136289 .015229 0.89 0.371 -.0162194 .0434771 TVendogenous | exp | .1129704 .0024688 45.76 0.000 .1081316 .1178093 exp2 | -.0004214 .0000546 -7.72 0.000 -.0005283 -.0003145 wks | .0008381 .0005995 1.40 0.162 -.0003368 .002013 ms | -.0300894 .0189674 -1.59 0.113 -.0672649 .0070861 union | .0324752 .0148939 2.18 0.029 .0032837 .0616667 TIexogenous | fem | -.132008 .1266039 -1.04 0.297 -.380147 .1161311 blk | -.2859004 .1554857 -1.84 0.066 -.5906468 .0188459 TIendogenous | ed | .1372049 .0205695 6.67 0.000 .0968894 .1775205 | _cons | 2.927338 .2751274 10.64 0.000 2.388098 3.466578 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(ex > p exp2 wks ms union ed) constant(fem blk ed) small Hausman-Taylor estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6891.87 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0207047 .0137809 -1.50 0.133 -.0477227 .0063133 south | .0074398 .031955 0.23 0.816 -.0552091 .0700888 smsa | -.0418334 .0189581 -2.21 0.027 -.0790014 -.0046653 ind | .0136039 .0152374 0.89 0.372 -.0162695 .0434773 TVendogenous | exp | .1131328 .002471 45.79 0.000 .1082884 .1179772 exp2 | -.0004189 .0000546 -7.67 0.000 -.0005259 -.0003118 wks | .0008374 .0005997 1.40 0.163 -.0003384 .0020132 ms | -.0298508 .01898 -1.57 0.116 -.0670617 .0073601 union | .0327714 .0149084 2.20 0.028 .0035429 .062 TIexogenous | fem | -.1309236 .126659 -1.03 0.301 -.3792431 .1173958 blk | -.2857479 .1557019 -1.84 0.067 -.5910069 .0195111 TIendogenous | ed | .137944 .0212485 6.49 0.000 .0962855 .1796024 | _cons | 2.912726 .2836522 10.27 0.000 2.356616 3.468837 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . . ** Hausman-taylor estimator with varying variables . xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(ex > p exp2 wks ms union ed) varying(ms exp* occ south smsa ind wks union) Hausman-Taylor estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6891.87 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0207047 .0137809 -1.50 0.133 -.0477149 .0063055 south | .0074398 .031955 0.23 0.816 -.0551908 .0700705 smsa | -.0418334 .0189581 -2.21 0.027 -.0789906 -.0046761 ind | .0136039 .0152374 0.89 0.372 -.0162608 .0434686 TVendogenous | exp | .1131328 .002471 45.79 0.000 .1082898 .1179758 exp2 | -.0004189 .0000546 -7.67 0.000 -.0005259 -.0003119 wks | .0008374 .0005997 1.40 0.163 -.0003381 .0020129 ms | -.0298508 .01898 -1.57 0.116 -.0670508 .0073493 union | .0327714 .0149084 2.20 0.028 .0035514 .0619914 TIexogenous | fem | -.1309236 .126659 -1.03 0.301 -.3791707 .1173234 blk | -.2857479 .1557019 -1.84 0.066 -.5909179 .0194221 TIendogenous | ed | .137944 .0212485 6.49 0.000 .0962977 .1795902 | _cons | 2.912726 .2836522 10.27 0.000 2.356778 3.468674 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(ex > p exp2 wks ms union ed) varying(ms exp* occ south smsa ind wks union) amacurd > y Amemiya-MaCurdy estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6879.20 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0208498 .0137653 -1.51 0.130 -.0478292 .0061297 south | .0072818 .0319365 0.23 0.820 -.0553126 .0698761 smsa | -.0419507 .0189471 -2.21 0.027 -.0790864 -.0048149 ind | .0136289 .015229 0.89 0.371 -.0162194 .0434771 TVendogenous | exp | .1129704 .0024688 45.76 0.000 .1081316 .1178093 exp2 | -.0004214 .0000546 -7.72 0.000 -.0005283 -.0003145 wks | .0008381 .0005995 1.40 0.162 -.0003368 .002013 ms | -.0300894 .0189674 -1.59 0.113 -.0672649 .0070861 union | .0324752 .0148939 2.18 0.029 .0032837 .0616667 TIexogenous | fem | -.132008 .1266039 -1.04 0.297 -.380147 .1161311 blk | -.2859004 .1554857 -1.84 0.066 -.5906468 .0188459 TIendogenous | ed | .1372049 .0205695 6.67 0.000 .0968894 .1775205 | _cons | 2.927338 .2751274 10.64 0.000 2.388098 3.466578 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . xthtaylor lwage occ south smsa ind exp exp2 wks ms union fem blk ed, endog(ex > p exp2 wks ms union ed) varying(ms exp* occ south smsa ind wks union) small Hausman-Taylor estimation Number of obs = 4165 Group variable (i): id Number of groups = 595 Obs per group: min = 7 avg = 7 max = 7 Random effects u_i ~ i.i.d. Wald chi2(12) = 6891.87 Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- TVexogenous | occ | -.0207047 .0137809 -1.50 0.133 -.0477227 .0063133 south | .0074398 .031955 0.23 0.816 -.0552091 .0700888 smsa | -.0418334 .0189581 -2.21 0.027 -.0790014 -.0046653 ind | .0136039 .0152374 0.89 0.372 -.0162695 .0434773 TVendogenous | exp | .1131328 .002471 45.79 0.000 .1082884 .1179772 exp2 | -.0004189 .0000546 -7.67 0.000 -.0005259 -.0003118 wks | .0008374 .0005997 1.40 0.163 -.0003384 .0020132 ms | -.0298508 .01898 -1.57 0.116 -.0670617 .0073601 union | .0327714 .0149084 2.20 0.028 .0035429 .062 TIexogenous | fem | -.1309236 .126659 -1.03 0.301 -.3792431 .1173958 blk | -.2857479 .1557019 -1.84 0.067 -.5910069 .0195111 TIendogenous | ed | .137944 .0212485 6.49 0.000 .0962855 .1796024 | _cons | 2.912726 .2836522 10.27 0.000 2.356616 3.468837 -------------+---------------------------------------------------------------- sigma_u | .94180304 sigma_e | .15180273 rho | .97467788 (fraction of variance due to u_i) ------------------------------------------------------------------------------ note: TV refers to time-varying; TI refers to time-invariant. . . end of do-file