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st: Issue with xtivreg and unbalanced panel


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Issue with xtivreg and unbalanced panel
Date   Wed, 18 Aug 2004 14:21:12 -0400

Hi Everybody,

We estimated a panel data model using the two following procedures:

(1) 

xtivreg  y x1 x2 ( x3 = l.x3 )

(2) 

by panelvar: generate x3lag=x3[_n-1]
xtivreg  y x1 x2 ( x3 = x3lag )


The difference between (1) and (2) is that in (2) we generate a new
series for the lag of x3. We expected (1) and (2) to always produce the
same results, but that's the case only when the panel is balanced. 

When the panel is unabalanced, it seems that (1) drops entire groups,
while (2) doesn't. (2) reports much higher numbers for groups and
observations than (1). In addition, we can find a number n such that the
following command (which explictly excludes several groups) gives the
same results as (1): 

(3) 
xtivreg  y x1 x2 ( x3 = l.x3 ) if freq>=n

Can anybody explain these results? We experiemented with -xtivreg, re-
and -xtivreg, fd-, with the same results. 

Thanks a lot.

Jean Salvati


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