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Re: st: xtivreg, fd


From   "Antonio Rodrigues Andres" <ara@sam.sdu.dk>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: xtivreg, fd
Date   Fri, 30 Apr 2004 19:04:01 +0200

Here is the do file, but still i did not succeed 


version 8.0 

clear
set mem 10m
use "C:\Documents and Settings\User\Desktop\panel_a.dta", clear
set matsize 800
tsset country year, yearly

*CHECKING DATA;

describe 
summarize

*SET INDIVIDUAL (i) AND TIME (t) INDEXES;

iis country
tis year
sort country year

sort country year
by country: gen lsrt_1=lsrt[_n-1]
by country:gen lsrt_2=lsrt[_n-2]
gen dlsrt=lsrt-lsrt_1
gen dlsrtl=lsrt_1-lsrt_2

list country year lsrt lsrt_1 lsrt_2 dlsrt




*SET INDIVIDUAL (i) AND TIME (t) INDEXES;
. 
. iis country

. tis year

. sort country year

. 
. sort country year

. by country: gen lsrt_1=lsrt[_n-1]
(21 missing values generated)

. by country:gen lsrt_2=lsrt[_n-2]
(42 missing values generated)

. gen dlsrt=lsrt-lsrt_1
(21 missing values generated)

. gen dlsrtl=lsrt_1-lsrt_2
(42 missing values generated)

. 
. list country year lsrt lsrt_1 lsrt_2 dlsrt

     +-------------------------------------------------------------+
     | country   year       lsrt     lsrt_1     lsrt_2       dlsrt |
     |-------------------------------------------------------------|
  1. |       1   1967   2.712653          .          .           . |
  2. |       1   1968    2.54155   2.712653          .    -.171103 |
  3. |       1   1969   2.505365    2.54155   2.712653    -.036185 |
  4. |       1   1976   2.378957   2.505365    2.54155   -.1264076 |
  5. |       1   1978   2.414159   2.378957   2.505365    .0352013 |
     |-------------------------------------------------------------|
  6. |       1   1979   2.452249   2.414159   2.378957    .0380907 |
  7. |       1   1981   2.415434   2.452249   2.414159   -.0368152 |
  8. |       1   1982   2.454014   2.415434   2.452249    .0385797 |
  9. |       1   1985   2.468911   2.454014   2.415434    .0148969 |
 10. |       1   1986   2.546347   2.468911   2.454014    .0774364 |
     |-------------------------------------------------------------|
 11. |       1   1989   2.508549   2.546347   2.468911   -.0377982 |
 12. |       1   1990   2.557495   2.508549   2.546347    .0489459 |
 13. |       1   1994   2.549296   2.557495   2.508549    -.008199 |
 14. |       1   1996   2.583857   2.549296   2.557495    .0345614 |
 15. |       2   1970   3.186564          .          .           . |
     |-------------------------------------------------------------|
 16. |       2   1972   3.151164   3.186564          .   -.0354004 |
 17. |       2   1973   3.094853   3.151164   3.186564   -.0563102 |
 18. |       2   1974   3.164042   3.094853   3.151164    .0691881 |
 19. |       2   1975   3.182587   3.164042   3.094853    .0185454 |
 20. |       2   1976   3.121514   3.182587   3.164042   -.0610731 |
     |-------------------------------------------------------------|
 21. |       2   1977   3.190412   3.121514   3.182587    .0688984 |
 22. |       2   1978   3.210852   3.190412   3.121514    .0204399 |
 23. |       2   1979     3.2226   3.210852   3.190412    .0117481 |
 24. |       2   1980   3.248157     3.2226   3.210852    .0255563 |
 25. |       2   1981    3.29013   3.248157     3.2226    .0419731 |
     |-------------------------------------------------------------|
 26. |       2   1982   3.307734    3.29013   3.248157    .0176039 |
 27. |       2   1983   3.294813   3.307734    3.29013   -.0129201 |
 28. |       2   1984   3.287895   3.294813   3.307734   -.0069182 |
 29. |       2   1985   3.317431   3.287895   3.294813    .0295362 |
 30. |       2   1986   3.338941   3.317431   3.287895    .0215092 |
     |-------------------------------------------------------------|
 31. |       2   1987   3.304351   3.338941   3.317431     -.03459 |
 32. |       2   1988   3.190645   3.304351   3.338941   -.1137056 |
 33. |       2   1989   3.210089   3.190645   3.304351    .0194445 |
 34. |       2   1990   3.163065   3.210089   3.190645    -.047024 |
 35. |       2   1991   3.119796   3.163065   3.210089   -.0432699 |
     |-------------------------------------------------------------|
 36. |       3   1969   2.724623          .          .           . |
 37. |       3   1973   2.700287   2.724623          .   -.0243354 |
 38. |       3   1975   2.785161   2.700287   2.724623    .0848737 |
 39. |       3   1976   2.811372   2.785161   2.700287    .0262105 |
 40. |       3   1977   2.947806   2.811372   2.785161    .1364348 |
     |-------------------------------------------------------------|
 41. |       3   1979   3.066484   2.947806   2.811372    .1186774 |
 42. |       3   1985   3.140994   3.066484   2.947806    .0745101 |
 43. |       3   1988   3.000554   3.140994   3.066484   -.1404402 |
 44. |       3   1992   2.924923   3.000554   3.140994   -.0756302 |
--more--


ivreg dlsrt (dlsrtl=lsrt_2)
tsset country year
xtivreg lsrt (lsrt_1=lsrt_2), fd

Instrumental variables (2SLS) regression

      Source |       SS       df       MS              Number of obs =  
  354
-------------+------------------------------           F(  1,   352) =  
 8.73
       Model | -2.29010053     1 -2.29010053           Prob > F      = 
0.0033
    Residual |  4.26690113   352  .012121878           R-squared     =  
    .
-------------+------------------------------           Adj R-squared =  
    .
       Total |   1.9768006   353  .005600002           Root MSE      =  
.1101

------------------------------------------------------------------------------
       dlsrt |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
      dlsrtl |   1.013682   .3430418     2.95   0.003     .3390123   
1.688351
       _cons |   -.001148   .0064632    -0.18   0.859    -.0138594   
.0115635
------------------------------------------------------------------------------
Instrumented:  dlsrtl
Instruments:   lsrt_2
------------------------------------------------------------------------------

. tsset country year
       panel variable:  country, 1 to 21
        time variable:  year, 1950 to 1998, but with gaps

. xtivreg lsrt (lsrt_1=lsrt_2), fd

First-differenced IV regression                 Number of obs      =    
  272
Group variable: country                         Number of groups   =    
   21

R-sq:  within  = 0.6984                         Obs per group: min =    
    1
       between = 0.9997                                        avg =    
 15.9
       overall = 0.9787                                        max =    
   45

                                                chi2(1)            =    
 0.06
corr(u_i, Xb)  = -0.9785                        Prob > chi2        =   
0.8009

------------------------------------------------------------------------------
d.lsrt       |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
lsrt_1       |
          D1 |  -.1323335   .5247273    -0.25   0.801     -1.16078   
.8961132
_cons        |  -.0002588   .0041095    -0.06   0.950    -.0083133   
.0077957
-------------+----------------------------------------------------------------
     sigma_u |  .40358129
     sigma_e |  .05979004
         rho |  .97852333   (fraction of variance due to u_i)
------------------------------------------------------------------------------
Instrumented:   lsrt_1
Instruments:     lsrt_2

your proposal 

 tsset country year
       panel variable:  country, 1 to 21
        time variable:  year, 1950 to 1998, but with gaps

. gen lsrt_l=l.lsrt
(107 missing values generated)

. gen lsrt_ll=l2.lsrt
(109 missing values generated)

. 
. list country year lsrt_l lsrt_ll

     +--------------------------------------+
     | country   year     lsrt_l    lsrt_ll |
     |--------------------------------------|
  1. |       1   1967          .          . |
  2. |       1   1968   2.712653          . |
  3. |       1   1969    2.54155   2.712653 |
  4. |       1   1976          .          . |
  5. |       1   1978          .   2.378957 |
     |--------------------------------------|
  6. |       1   1979   2.414159          . |
  7. |       1   1981          .   2.452249 |
  8. |       1   1982   2.415434          . |
  9. |       1   1985          .          . |
 10. |       1   1986   2.468911          . |
     |--------------------------------------|
 11. |       1   1989          .          . |
 12. |       1   1990   2.508549          . |
 13. |       1   1994          .          . |
 14. |       1   1996          .   2.549296 |
 15. |       2   1970          .          . |
     |--------------------------------------|
 16. |       2   1972          .   3.186564 |
 17. |       2   1973   3.151164          . |
 18. |       2   1974   3.094853   3.151164 |
 19. |       2   1975   3.164042   3.094853 |
 20. |       2   1976   3.182587   3.164042 |
     |--------------------------------------|
--more--










>>> M.E.Schaffer@hw.ac.uk 04/30/04 6:00 PM >>>
Antonio,

Date sent:      	Fri, 30 Apr 2004 13:04:56 +0200
From:           	"Antonio Rodrigues Andres" <ara@sam.sdu.dk>
To:             	<statalist@hsphsun2.harvard.edu>
Subject:        	st: xtivreg, fd
Send reply to:  	statalist@hsphsun2.harvard.edu

> Dear Stata users
> I am trying a simple dynamic model with the lagged value of the dep.
> variable as regressor. I pretend to obtain the Anderson-Hsiao
estimator
> using yit-2 as instrument but i did not succeed. I should get the same
> results using xtivreg, fd and ivreg with the differenced variables
> 
> Does anybody knows why not
> 
> sort country year
> by country: gen lsrt_1=lsrt[_n-1]
> by country:gen lsrt_2=lsrt[_n-2]

Does Stata know at this point that your data are panel data?  If not, 
some of the lags might be messed up.  For example, the 1-period lag 
for the first time period of observation 2 should be missing, but 
Stata might be using the latest time period of observation 1 instead. 
If you use tsset and then time series operators to create the lags, 
e.g., l2.lsrt instead of lsrt[_n-2], this won't happen and the lags 
will be correct.

Hope this helps.

--Mark

> gen dlsrt=lsrt-lsrt_1
> gen dlsrtl=lsrt_1-lsrt_2
> 
> Model yt=  alpha* yt-1 + eta _i +ut
> variables have been already differenced
> 
> ivreg dlsrt (dlsrtl=lsrt_2) using yit-2 as instrument
> 
> tsset country year
> xtivreg lsrt (lsrt_1=lsrt_2), i(country) fd
> 
> Regards
> Antonio
> *
> *   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/


Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
*   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/

*
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