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RE: st: Fixed effects and e(sample)


From   Mikko Mäkinen <Mikko.Makinen@etla.fi>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: Fixed effects and e(sample)
Date   Thu, 20 May 2004 12:22:45 +0300

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: owner-statalist@hsphsun2.harvard.edu
>[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of R.E. De Hoyos
>Sent: Wednesday, May 19, 2004 6:02 PM
>To: statalist@hsphsun2.harvard.edu
>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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