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Re: st: Micro and Macro Variables in Panel Data


From   Andreas Kuhn <akuhn@access.unizh.ch>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Micro and Macro Variables in Panel Data
Date   Fri, 25 Jun 2004 13:08:49 +0200

REINERTSON,M YVONNE wrote:
Dear Statalisters,

I have gained greatly by reading this list over the years while completing my college core courses (possibly more than I gained from my various stat classes). However, now that I am an active researcher, and devoted Stata follower, I need some guidance. In addition, someday, after completing enough of a rather steep learning curve, return the favor by contributing to the list.

Problem to Solve: I am working on research that involves a panel data where the LHS response variable is an individual specific microeconomic variable while the RHS explanatory variables are all macroeconomic variables common to each panel. Obviously, Stata is not able to break out the relationships with this panel data structure.

Solutions Attempted: I am currently studying chapter eleven in Kmenta, 1986, “Elements of Econometrics” to see if I can use an indicator variable specific to each individual in an interaction term with the macroeconomic variables. Something like Y(i,t)=B(0) + B(1)I(i)X(t) +…+e(i,t)

Questions: (1) Statalist Archives: There have been previous threads on Statalist concerning this research problem, but I have not been able to search out any useful past postings. Does anyone remember this topic being discussed? If so, do you remember the Stata solutions?; (2) Literature Research: What are some literature references that I could research on this topic?

My field of study is economics; however, the references that you recommend need not be. I’m really looking for technique guidance, which can come from any field of research.

Version: Stata 7 (final update)
OS: WindowsXP

Thanks,

Yvonne

M. Yvonne Reinertson
University of Florida, PhD Candidate
myvonne@ufl.edu


--
REINERTSON,M YVONNE


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Dear Yvonne,

I think you should have a look at so-called multilevel / hierarchical / random coefficients - models, which try (among other things) to tackle exactly to problem you face: explaining mirco-data (partially) through macro-data.

I am not very knowledgeable about these methods, but I just wanted to give this hint. You can obatin more information at, for example:

www.gllamm.org

where you can also donwload stata-programs - gllamm - for estimating these models. An easy-going introduction is given by: Thomas DiPrete and Jerry Forristal (1994), Annual Review of Sociology, 20, 331-357.

I hope this helps, Andreas

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* http://www.ats.ucla.edu/stat/stata/




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