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From |
"Scott Merryman" <smerryman@kc.rr.com> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: FE and groups w/out variation |

Date |
Sun, 20 Oct 2002 18:41:06 -0500 |

----- Original Message ----- From: "Guillaume Frechette" <gurst1@hotmail.com> To: <statalist@hsphsun2.harvard.edu> Sent: Sunday, October 20, 2002 1:56 PM Subject: Re: st: FE and groups w/out variation > Thanks to Scott and Mark, Scott's answer was about regressors w/out > variation which is not what I had in mind (my fault, I should have been > clearer). Mark is closer to what I was asking about, except that in my case > its not simply singletons (although there are some), but some groups, which > have more than one observations, have always the same value for their > dependant variable. BTW my intuition is the same as what Mark expressed. > I'll now try to track down David's post. Thanks again. > > g > Here is David's post. ----- Original Message ----- From: "David M. Drukker, Stata Corp" <ddrukker@stata.com> To: <statalist@hsphsun2.harvard.edu> Sent: Thursday, July 18, 2002 9:12 AM Subject: Re: st: Wrong no. of obs. in xtreg fixed effect option > Ali Mehryar Karim asked why he -xtreg , fe- includes the panels > with only one observation in calculating the number of observations. > > -xtreg ,fe- does not drop the panels with only one observation because they > provide information about the constant, the variance components, the between > R-sq, the overall R-sq and the correlation between the u_i and xb. In fact, > this can be seen from the output that he provided. > > > > . 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 > > > > 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 > > Since these observations provide information that affect the estimates, they > should not be dropped by default. If one is interested in estimates that > exclude the information contained in singleton panels, then they should be > explicitly dropped. > > I hope that this helps. > > --David > ddrukker@stata.com * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: gen new variable***From:*"Kompal Sinha" <kompal.sinha@anu.edu.au>

**References**:**Re: st: FE and groups w/out variation***From:*"Guillaume Frechette" <gurst1@hotmail.com>

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