hello, I am trying to run hausman taylor for my master's thesis, and I am having trouble trying to understand the following: If I have multiple time varying exogenous variables and multiple time invariant endogenous variables, how would I decide which exogenous variables' mean is being instrumented for which time invariant endogenous variables? or is it is the case that all the time varying exogenous variables are used to formulate one regression to estimate all the time invariant endogenous variables? I would really appreciate it if you answered
This is very insightful. I have a few questions: (1) can we include lags in hausman-taylor estimation, (2) when one includes interaction, do you have any idea to do margin plots?
@Mike Jonas Econometrics: Thanks a lot for this great tutorial. :) Can you tell me how to implement the Hausman-Taylor estimator when the dependent variable is binary (i.e. when one would use xtlogit, xtprobit or xtcloglog, unless one was interested in getting an estimate for a time-invariant variable like sex). Is there a specific command in Stata for that case? Thank you very much in advance.
Is it possible to use a TI exogenous variable as an instrument variable for TI endogenous variable? I have many TI exogenous variables, but one of them is the instrument for TI exogeneous variable.
Thanks, Mike. Question: does this model allow lagged dependent variable (say, Y(t-1) )? If so, will it also allow the extra endogeneity control with Y(t-2)?
Hi, great video, but i think that on presentation are mistakes with respect of dimensions of matrices "X(number)it"- on particular observation "it" shouldn't it be a vectors "1xk(number)"?
As it s Hausman and Taylor estimator that allows time invariant regressors by using insturmental variable for each of them, otherwise we would not see them in the scheme . The reason behind it, in FE estimator, all the fixed effects may not be correlated with explanatory variables,X's while some are. Based on that, the estimator keeps its all variables that are not correlated and results with better fit. Actually, Hausman and Taylor makes FE estimator, RE estimator by providing all time invaiant and variant regressors are uncorrelated with unobs. ind. effect.
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I find myself going back to this video whenever I use Hausman-Taylor! Such a great lecture/tutorial!
hello, I am trying to run hausman taylor for my master's thesis, and I am having trouble trying to understand the following: If I have multiple time varying exogenous variables and multiple time invariant endogenous variables, how would I decide which exogenous variables' mean is being instrumented for which time invariant endogenous variables? or is it is the case that all the time varying exogenous variables are used to formulate one regression to estimate all the time invariant endogenous variables?
I would really appreciate it if you answered
This is very insightful. I have a few questions: (1) can we include lags in hausman-taylor estimation, (2) when one includes interaction, do you have any idea to do margin plots?
Wow. So, so, so helpful!! Thank you sir!
Glad it was useful - thanks!
Thanks, Mike. I have a question, how to use interaction in Hausman-Taylor Panel Regression?
Sir, could you explain the PPML estimation method, in your videos?
Thank you
thanks for saving me on panel data final project!!!
thank you, really helped
@Mike Jonas Econometrics: Thanks a lot for this great tutorial. :)
Can you tell me how to implement the Hausman-Taylor estimator when the dependent variable is binary (i.e. when one would use xtlogit, xtprobit or xtcloglog, unless one was interested in getting an estimate for a time-invariant variable like sex). Is there a specific command in Stata for that case?
Thank you very much in advance.
Do you need time/year dummies when using the HT estimator?
Do you have any information about the dynamic simultaneous panel analysis?
Thanks a lot sir
SUPER!
thx for the tutorial, really helpful
You’re welcome - glad it was helpful!
Is it possible to use a TI exogenous variable as an instrument variable for TI endogenous variable? I have many TI exogenous variables, but one of them is the instrument for TI exogeneous variable.
Thanks, Mike. Question: does this model allow lagged dependent variable (say, Y(t-1) )? If so, will it also allow the extra endogeneity control with Y(t-2)?
Hi, great video, but i think that on presentation are mistakes with respect of dimensions of matrices "X(number)it"- on particular observation "it" shouldn't it be a vectors "1xk(number)"?
why the fixed effect estimator reports the constant?
As it s Hausman and Taylor estimator that allows time invariant regressors by using insturmental variable for each of them, otherwise we would not see them in the scheme . The reason behind it, in FE estimator, all the fixed effects may not be correlated with explanatory variables,X's while some are. Based on that, the estimator keeps its all variables that are not correlated and results with better fit. Actually, Hausman and Taylor makes FE estimator, RE estimator by providing all time invaiant and variant regressors are uncorrelated with unobs. ind. effect.