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Re: st: Fixed effects and e(sample)


From   "R.E. De Hoyos" <redeho2@hotmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Fixed effects and e(sample)
Date   Thu, 20 May 2004 10:49:38 +0100

Scott,

Thanks for this.

Rafa

----- Original Message -----
From: "Scott Merryman" <smerryman@kc.rr.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, May 20, 2004 1:36 AM
Subject: RE: st: Fixed effects and e(sample)


> 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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