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From |
"R.E. De Hoyos" <redeho2@hotmail.com> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: xtabond and OLS for separate years |

Date |
Wed, 5 May 2004 11:42:07 +0100 |

Kate, It seems that--as you pointed out--there is not enough within variation in your data. That's why both the fixed effects and first-differences estimators are barely significant and might show counter-intuitive signs. The Arellano-Bond estimator tries to exploit the time (or within) variation in the data correcting for autocorrelation. Therefore if you have a panel formed by--let's say, countries and years, most of the variation will come from differences between countries hence the Arellano-Bond estimator would probably yield poor results. Rafa ----- Original Message ----- From: "Kate Ivanova" <kivanova@usc.edu> To: <statalist@hsphsun2.harvard.edu> Sent: Wednesday, May 05, 2004 8:48 AM Subject: RE: st: xtabond and OLS for separate years > Thank you very much again, Mark and Antonio. I really appreciate all your > comments. > > Now I could compare my OLS in cross section to between estimator, fixed > effects, first differences [thanks to your help] and random effects. My > income and income squared are significant in all OLS cross sections for 10 > years. They are also significant in the between-effects, random-effects and > fixed effects models. However, the signs on all my coefficients are wrong in > the fixed effects estimation. In the random effects model, the sign of the > coefficient on my third variable, corruption, is wrong (though significant). > So I am basically left with the between estimator as it seems that I do not > have enough "within" variation in my explanatory variables. Does that mean > that I should not use xtabond or is it possible to get round this problem? > > As for the first-differenced results, only two of the variables are barely > significant (at the 10% level) but the signs are wrong for both of them. > > Please let me know if you have any suggestions. > > Kate > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Antonio Rodrigues > Andres > Sent: Tuesday, May 04, 2004 5:12 PM > To: statalist@hsphsun2.harvard.edu > Subject: RE: st: xtabond and OLS for separate years > > 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 > -------------------------------------------------------------------------- -- > -- > > > > >>> M.E.Schaffer@hw.ac.uk 05/05/04 12:27 AM >>> > Kate, > > Quoting Kate Ivanova <kivanova@usc.edu>: > > > 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: owner-statalist@hsphsun2.harvard.edu > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kate > > Ivanova > > Sent: Monday, May 03, 2004 10:02 AM > > To: statalist@hsphsun2.harvard.edu > > 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: owner-statalist@hsphsun2.harvard.edu > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Mark > > Schaffer > > Sent: Monday, May 03, 2004 4:09 AM > > To: statalist@hsphsun2.harvard.edu > > Subject: Re: st: xtabond and OLS for separate years > > > > Kate, > > > > Date sent: Sat, 01 May 2004 17:59:00 -0700 > > From: Kate Ivanova <kivanova@usc.edu> > > Subject: st: xtabond and OLS for separate years > > To: statalist@hsphsun2.harvard.edu > > Send reply to: statalist@hsphsun2.harvard.edu > > > > > 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 > > * > > * 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/ > > > > * > > * 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 > ________________________________________________________________ > > DISCLAIMER: > > This e-mail and any files transmitted with it are confidential > and intended solely for the use of the individual or entity to > whom it is addressed. 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**References**:**RE: st: xtabond and OLS for separate years***From:*Kate Ivanova <kivanova@usc.edu>

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