Hi!
See also p.215 in [XT].
In RE you have 702 obs., in FE 665 obs. As mentioned, you loose one obs. in
each group (37 groups) in FE due to the Cochrane-Orcutt method (702-37=665).
Mikko
At 19:36 19.5.2004 -0500, Scott Merryman wrote:
>When using -xtregar, fe- the first observation of each group is dropped.
>See [XT] Cross-Sectional Time-series, page 222.
>
>Scott
>
>
>-----Original Message-----
>From: [email protected]
>[mailto:[email protected]] On Behalf Of R.E. De Hoyos
>Sent: Wednesday, May 19, 2004 6:02 PM
>To: [email protected]
>Cc: Mark Schaffer
>Subject: Re: st: Fixed effects and e(sample)
>
>Mark,
>
>Appended you will find a copy of our output.
>
>I appreciate all your help.
>
>Rafa
>
>xtregar polity2 PPPopenness , re
>
>RE GLS regression with AR(1) disturbances Number of obs =
>702
>Group variable (i): cty1 Number of groups =
>37
>
>R-sq: within = 0.0030 Obs per group: min =
>2
> between = 0.5743 avg =
>19.0
> overall = 0.3051 max =
>24
>
> Wald chi2(2) =
>1.57
>corr(u_i, Xb) = 0 (assumed) Prob > chi2 =
>0.4558
>
>------------------- theta --------------------
> min 5% median 95% max
>0.5547 0.5952 0.6532 0.6577 0.6577
>
>----------------------------------------------------------------------------
>--
> polity2 | Coef. Std. Err. z P>|z| [95% Conf.
>Interval]
>-------------+--------------------------------------------------------------
>--
> PPPopenness | .0136209 .0108653 1.25 0.210 -.0076747
>0349165
> _cons | 1.957344 .980394 2.00 0.046 .0358073
>3.878881
>-------------+--------------------------------------------------------------
>--
> rho_ar | .84057188 (estimated autocorrelation coefficient)
> sigma_u | 5.4429879
> sigma_e | 1.8583632
> rho_fov | .89559999 (fraction of variance due to u_i)
>----------------------------------------------------------------------------
>--
>
>
>xtregar polity2 PPPopenness , fe
>
>FE (within) regression with AR(1) disturbances Number of obs =
>665
>Group variable (i): cty1 Number of groups =
>37
>
>R-sq: within = 0.0003 Obs per group: min =
>1
> between = 0.5348 avg =
>18.0
> overall = 0.3204 max =
>23
>
> F(1,627) =
>0.22
>corr(u_i, Xb) = 0.6142 Prob > F =
>0.6407
>
>----------------------------------------------------------------------------
>--
> polity2 | Coef. Std. Err. t P>|t| [95% Conf.
>Interval]
>-------------+--------------------------------------------------------------
>--
> PPPopenness | .0053465 .0114505 0.47 0.641 -.0171395
>0278326
> _cons | 2.181906 .0781426 27.92 0.000 2.028453
>2.335359
>-------------+--------------------------------------------------------------
>--
> rho_ar | .84057188
> sigma_u | 6.6058579
> sigma_e | 1.8267237
> rho_fov | .92896283 (fraction of variance due to u_i)
>----------------------------------------------------------------------------
>--
>F test that all u_i=0: F(36,627) = 6.67 Prob > F =
>0.0000
>
>
> . which xtregar
>I:\W5\STATA\ado\updates\x\xtregar.ado
>*! version 1.2.13 20jun2003
>
>
>*
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>
>
*
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