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RE: st: xtabond and OLS for separate years


From   "Antonio Rodrigues Andres" <[email protected]>
To   <[email protected]>
Subject   RE: st: xtabond and OLS for separate years
Date   Wed, 05 May 2004 02:11:58 +0200

xtivreg using as instruments the same regressors gives the same result
that doing it by hand

Yes, you get the same results.


 *FIRST DIFFERENCES
. xtivreg lsrt ($xvars=income unempl), fd

First-differenced IV regression                 Number of obs      =    
  276
Group variable: country                         Number of groups   =    
   21

R-sq:  within  = 0.0096                         Obs per group: min =    
    3
       between = 0.8987                                        avg =    
 16.9
       overall = 0.3945                                        max =    
   37

                                                chi2(2)            =    
 4.12
corr(u_i, Xb)  = -0.5904                        Prob > chi2        =   
0.1277

------------------------------------------------------------------------------
d.lsrt       |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
income       |
          D1 |  -.0176139   .0088856    -1.98   0.047    -.0350292  
-.0001985
unempl       |
          D1 |  -.0041495   .0044982    -0.92   0.356    -.0129659   
.0046669
_cons        |    .005815    .005735     1.01   0.311    -.0054254   
.0170553
-------------+----------------------------------------------------------------
     sigma_u |  .42097985
     sigma_e |  .05951118
         rho |  .98040789   (fraction of variance due to u_i)
------------------------------------------------------------------------------
Instrumented:   income unempl
Instruments:     income unempl

. regress dlsrt dincome dunempl

      Source |       SS       df       MS              Number of obs =  
  276
-------------+------------------------------           F(  2,   273) =  
 2.06
       Model |  .014576629     2  .007288314           Prob > F      = 
0.1297
    Residual |  .966851358   273   .00354158           R-squared     = 
0.0149
-------------+------------------------------           Adj R-squared = 
0.0076
       Total |  .981427987   275  .003568829           Root MSE      = 
.05951

------------------------------------------------------------------------------
       dlsrt |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
     dincome |  -.0176139   .0088856    -1.98   0.048    -.0351068  
-.0001209
     dunempl |  -.0041495   .0044982    -0.92   0.357    -.0130051   
.0047061
       _cons |    .005815    .005735     1.01   0.312    -.0054755   
.0171054
------------------------------------------------------------------------------



>>> [email protected] 05/05/04 12:27 AM >>>
Kate,

Quoting Kate Ivanova <[email protected]>:

> Hi Mark,
> 
> I tried to run xtreg, fd (first-differencing without instrumenting)
> as you
> suggested but I could not find this option in the xtreg command.
> There is
> xtivreg, fd but then this is for estimation with instrumental
> variables. Is
> there any other way to estimate a first-differenced model without
> instrumenting?

Funny, I thought it would be there.

I suppose you either have to try to trick xtivreg into running an 
uninstrumented equation by specifying the same instruments as regressors
- 
and it might be too clever to be fooled - or you have to first
difference 
by hand.

--Mark

> Thanks!
> 
> Kate
> 
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Kate
> Ivanova
> Sent: Monday, May 03, 2004 10:02 AM
> To: [email protected]
> Subject: RE: st: xtabond and OLS for separate years
> 
> Mark,
> 
> Thank you very much for your suggestions. They are very helpful.
> Yes, I did
> mean OLS in cross-section so I'll now compare it to the estimators
> you
> specified below. I'll get back again when I have the results. Thanks
> a lot! 
> 
> Kate
> 
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Mark
> Schaffer
> Sent: Monday, May 03, 2004 4:09 AM
> To: [email protected]
> Subject: Re: st: xtabond and OLS for separate years
> 
> Kate,
> 
> Date sent:      	Sat, 01 May 2004 17:59:00 -0700
> From:           	Kate Ivanova <[email protected]>
> Subject:        	st: xtabond and OLS for separate years
> To:             	[email protected]
> Send reply to:  	[email protected]
> 
> > Hi,
> > 
> > I am confused by the results I get using xtabond. I have a panel
> of 116
> > countries over 10 years and when I run separate regressions for
> each year
> > using OLS, my variables (income and income squared) are highly
> significant
> > (at a 0.001 level). But when I run xtabond with one lag of the
> dependent
> > variable, they are not significant at all. I wonder why I have
> such a
> > difference between the results. Any help, any ideas would be
> greatly
> > appreciated.
> 
> It's hard to tell exactly what's going on from the info you've 
> provided, but there are at least two possibilities:
> 
> 1. You are comparing OLS in cross-section (yes?) and xtabond, which
> 
> you can think of as a first-difference estimator with instrumenting.
>  
> Each of your cross-sections uses the cross-sectional variation
> across 
> 116 countries in any year; xtabond using only the time-series 
> variation within countries.
> 
> A better comparison would be to leave the instrumenting out of it
> for 
> the moment, and compare:
> 
> OLS period-by-period (uses only cross-sectional variation)
> Between estimator (also uses only cross-sectional variation)
> Fixed effects (uses only "within", i.e., time-series, variation)
> First differences (also uses only "within" variation)
> Random effects (uses both "within" and "between" variation)
> 
> 2.  xtabond is an IV estimator, and the results you get will depend
> 
> on the instrumenting.  You can compare the xtabond results with the
> 
> results from first-differencing without instrumenting (xtreg, fd),
> 
> for example, and see what happens.
> 
> Hope this helps.
> 
> --Mark
> 
> > 
> > Kate
> > 
> > 
> 
> 
> 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
> *
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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: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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