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Re: st: FE and groups w/out variation


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



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