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Re: st: xtivreg, fd


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Antonio Rodrigues Andres <ara@sam.sdu.dk>
Subject   Re: st: xtivreg, fd
Date   Fri, 30 Apr 2004 19:27:36 +0100 (BST)

Antonio,

Quoting Antonio Rodrigues Andres <ara@sam.sdu.dk>:

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

I think what you posted demonstrates that my guess was correct.

Consider observations 6 and 7 for country 1.  The way you've calculated 
lsrt_1, the 1-period lagged value in 1981 is the immediately preceding 
observation, which is from 1979:

     | country   year       lsrt     lsrt_1     lsrt_2       dlsrt |
     |-------------------------------------------------------------|
  6. |       1   1979   2.452249   2.414159   2.378957    .0380907 |
  7. |       1   1981   2.415434   2.452249   2.414159   -.0368152 |

But if you use Stata's lag operators, then the 1-period lagged value in 
1981 is missing:

     +--------------------------------------+
     | country   year     lsrt_l    lsrt_ll |
     |--------------------------------------|
  6. |       1   1979   2.414159          . |
  7. |       1   1981          .   2.452249 |

The latter is correct.  The 1-period lagged value for 1981 would be from 
1980, and in fact there is no 1980 observation.  The 2-period lagged value 
should be from 1979, and it is.

If you use Stata's lag operators when you create your data, then you will 
be using the same transformed data that xtivreg is using.

Best,
Mark

> 
> 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/
> 
> *
> *   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 Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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