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st: Re: egen and computing fixed effects


From   "Michael Blasnik" <michael.blasnik@verizon.net>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: egen and computing fixed effects
Date   Tue, 22 Jun 2004 15:46:23 -0400

The problem isn't how egen calculates the mean, the means are calculated as
you would expect -- for all non-missing observations for each variable.
These means will include observations that may be missing on other variables
in your regression.  You need to calculate the means only for the estimation
sample (excluding observations with missing values on any of the variables)
if you want the same answer.

Michael Blasnik
michael.blasnik@verizon.net


----- Original Message ----- 
From: "Tim R. Sass" <tsass@coss.fsu.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, June 22, 2004 3:25 PM
Subject: st: egen and computing fixed effects


> Statalisters -
>
> I am trying to "manually" compute a fixed-effects estimator by taking the
> differences from means of all variables and then running reg on the
> demeaned data.  You may ask why in the world I would want to do that, but
> that's for another post.
>
> I have a panel of student-level data over three years.  I demean the data
> as follows:
>
> bysort student:egen nrtrgain_m = mean(nrtrgain);
> bysort student:egen charter_m = mean(charter);
> bysort student:egen nschools_m = mean(nschools);
> bysort student:egen chgschl_m = mean(chgschl);
>
> gen d2_nrtrgain = nrtrgain - nrtrgain_m;
> gen d2_charter = charter - charter_m;
> gen d2_nschools = nschools - nschools_m;
> gen d2_chgschl = chgschl - chgschl_m;
>
> I then run the following models:
>
> areg  nrtrgain charter nschools chgschl,
>                   absorb(student) ;
>
> reg   d2_nrtrgain d2_charter d2_nschools d2_chgschl ;
>
> xtdata  nrtrgain charter nschools chgschl, fe clear;
> reg  nrtrgain charter nschools chgschl;
>
>
> The first and third models yield the same estimated coefficients (except
> for the constant, of course), but the coefficients for the second model
> (using reg on the demeaned variables) yields different results.  However,
> when I eliminate all observations with missing values for any of the
> variables in the model, all three models yield identical estimated slope
> coefficients.
>
> I'm guessing the problem has something to do with how egen computes the
> mean for each student when there are missing observations.  I have read
> through the manual and searched the archives, but still can't figure out
> what is going on.  Any help would be greatly appreciated.
>
> Tim
>
>
> Tim R. Sass
> Professor                               Voice:   (850)644-7087
> Department of Economics         Fax:      (850)644-4535
> Florida State University                E-mail:   tsass@coss.fsu.edu
> Tallahassee, FL  32306-2180     Internet:
http://garnet.acns.fsu.edu/~tsass


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