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From |
Ash Alankar <ash_alankar@yahoo.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: Fixed Effects Panel Regression with correlation between panels |

Date |
Sun, 22 Jun 2003 07:38:56 -0700 (PDT) |

This is very useful. Thank you. Thanks, Ash. --- Scott Merryman <smerryman@kc.rr.com> wrote: > ----- Original Message ----- > From: "ash_alankar" <ash_alankar@yahoo.com> > To: <statalist@hsphsun2.harvard.edu> > Sent: Thursday, June 19, 2003 4:57 PM > Subject: Re: st: RE: Fixed Effects Panel Regression > with correlation between > panels > > > > Hi Dolores, > > > > Thanks for the info. But when I mean correlation > between panels I > > mean that the errors for unit i are correlated > with the errors for > > unit j. I am assuming that the errors are > independent across time > > i.e. no autocorrelation. > > > > Do you know how to do this in a fixed effects > framework? I was > > thinking of using xtgls with a dummy of ones for > each different unit > > to capture the fixed effects, but was hoping that > there might be a > > better way. > > > > Thanks. > > Ash. > > > A possible alternative to fixed effects GLS would be > to reshape the data and > use -sureg-. If you constrain the coefficients to > be equal across > equations, it will give you the same results fixed > effects GLS, however, > sureg would allow the slope coefficients to vary by > equation as well as > contemporaneous correlation between the error terms > across equations. > > Hope this helps, > Scott > > > Example: > > The do file: > preserve > use http://www.stata-press.com/data/r8/grunfeld.dta > drop kstock > keep if comp <4 > > xtreg invest mvalue , fe > > xi i.com > xtgls invest mva _*, panel(corr) > > drop _* > > reshape wide invest mvalue , i(year) j(company) > forv i = 1/3 { > local rhs " `rhs' (invest`i' mvalue`i' )" > } > di "`rhs'" > > constraint 1 [invest1]mvalue1 = [invest2]mvalue2 > constrain 2 [invest2]mvalue2 = [invest3]mvalue3 > sureg `rhs' ,const(1 2) corr > > restore > > The results: > > . preserve > > . use > http://www.stata-press.com/data/r8/grunfeld.dta > > . drop kstock > > . keep if comp <4 > (140 observations deleted) > > . > . xtreg invest mvalue , fe > > Fixed-effects (within) regression > Number of obs = > 60 > Group variable (i): company > Number of groups = > 3 > > R-sq: within = 0.3725 Obs > per group: min = > 20 > between = 0.6451 > avg = > 20.0 > overall = 0.5131 > max = > 20 > > > F(1,56) = > 33.25 > corr(u_i, Xb) = -0.3598 Prob > > F = > 0.0000 > > ---------------------------------------------------------------------------- > -- > invest | Coef. Std. Err. t > P>|t| [95% Conf. > Interval] > -------------+-------------------------------------------------------------- > -- > mvalue | .1982563 .0343844 5.77 > 0.000 .1293759 > .2671366 > _cons | -171.4112 96.63739 -1.77 > 0.082 -364.9991 > 22.17679 > -------------+-------------------------------------------------------------- > -- > sigma_u | 166.11924 > sigma_e | 155.73559 > rho | .53222836 (fraction of variance > due to u_i) > ---------------------------------------------------------------------------- > -- > F test that all u_i=0: F(2, 56) = 19.81 > Prob > F = > 0.0000 > > . > . xi i.com > i.company _Icompany_1-3 (naturally > coded; _Icompany_1 omitted) > > . xtgls invest mva _*, panel(corr) > > Cross-sectional time-series FGLS regression > > Coefficients: generalized least squares > Panels: heteroskedastic with cross-sectional > correlation > Correlation: no autocorrelation > > Estimated covariances = 6 > Number of obs = > 60 > Estimated autocorrelations = 0 > Number of groups = > 3 > Estimated coefficients = 4 Time > periods = > 20 > Wald > chi2(3) = > 244.45 > Log likelihood = -362.3947 Prob > > chi2 = > 0.0000 > > ---------------------------------------------------------------------------- > -- > invest | Coef. Std. Err. z > P>|z| [95% Conf. > Interval] > -------------+-------------------------------------------------------------- > -- > mvalue | .1166626 .0323914 3.60 > 0.000 .0531767 > .1801485 > _Icompany_2 | 78.01431 86.04438 0.91 > 0.365 -90.62957 > 246.6582 > _Icompany_3 | -226.6125 89.96582 -2.52 > .012 -402.9423 -50.2827 > _cons | 102.4225 149.0675 0.69 > 0.492 -189.7444 > 394.5895 > ---------------------------------------------------------------------------- > -- > > . > . drop _* > > . > . reshape wide invest mvalue , i(year) j(company) > (note: j = 1 2 3) > > Data long -> wide > ---------------------------------------------------------------------------- > - > Number of obs. 60 -> 20 > Number of variables 5 -> 8 > j variable (3 values) company -> > (dropped) > === message truncated === __________________________________ Do you Yahoo!? SBC Yahoo! DSL - Now only $29.95 per month! http://sbc.yahoo.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/

**References**:**Re: st: RE: Fixed Effects Panel Regression with correlation between panels***From:*"Scott Merryman" <smerryman@kc.rr.com>

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