st: Wrong no. of obs. in xtreg fixed effect option

["Ali Karim" <mehryar@hotmail.com>]

Dear readers,

I have not been able to figure out why stata gives the wrong number of 
observation with xtreg fixed effect option. For example: I am predicting 
change of knowledge over two periods in time and its associated with change 
of exposure. I get the following output:


. xtreg hiv_tot_cor year core_ad,i(newcs) fe

Fixed-effects (within) regression      Number of obs      =      7237
Group variable (i) : newcs             Number of groups   =      5015

R-sq:  within  = 0.0332                Obs per group: min =         1
      between = 0.0017                               avg =       1.4
      overall = 0.0081                               max =         2

                                      F(2,2220)          =     38.16
corr(u_i, Xb)  = -0.0424               Prob > F           =    0.0000

------------------------------------------------------------------------
hiv_tot_cor |      Coef.   Std. Err.      t    P>|t|     [95% Conf. 
Interval]
-------+----------------------------------------------------------------
 year |   .1355214   .0191276     7.09   0.000     .0980115    .1730313
core_ad |  .1429555   .0335556     4.26   0.000      .077152    .2087591
_cons |   1.763668   .0149903   117.65   0.000     1.734272    1.793065
-------+----------------------------------------------------------------
sigma_u |  .68639679
sigma_e |  .63330582
   rho |  .54016449   (fraction of variance due to u_i)
------------------------------------------------------------------------
F test that all u_i=0:     F(5014, 2220) =     1.54          Prob > F = 
0.0000

The number of observations that went into the fixed effect analysis is not 
the number mentioned in the above output. Therefore, I select the sample 
with observations for both the periods, then I get:-

. xtreg hiv_tot_cor year core_ad if interview==2,i(newcs) fe

Fixed-effects (within) regression         Number of obs      =      4444
Group variable (i) : newcs                Number of groups   =      2222

R-sq:  within  = 0.0332                   Obs per group: min =         2
      between = 0.0080                                  avg =       2.0
      overall = 0.0175                                  max =         2

                                         F(2,2220)          =     38.16
corr(u_i, Xb)  = 0.0057                   Prob > F           =    0.0000

------------------------------------------------------------------------
hiv_tot_cor |      Coef.   Std. Err.      t    P>|t|     [95% Conf. 
Interval]
-------------+----------------------------------------------------------------
 year |   .1355214   .0191276     7.09   0.000     .0980115    .1730313
core_ad |  .1429555   .0335556     4.26   0.000      .077152    .2087591
_cons |   1.793538   .0150765   118.96   0.000     1.763972    1.823103
-------------+----------------------------------------------------------
    sigma_u |   .5792349
    sigma_e |  .63330582
        rho |  .45549543   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0:     F(2221, 2220) =     1.67          Prob > F = 
0.0000

Now I have different number of obs (the correct one), rho, sigma_u, and 
sigma_e estimates. Thankfully the parameter estimates of my covariates are 
the same.

Any comments?

Ali Mehryar Karim
Doctoral student
Tulane University
1440 Canal St, Suite 2200
Ph # (504) 988-1348
Fax (504) 584-3653
email: akarim@tulane.edu


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