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RE: st: Issue with xtivreg and unbalanced panel


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Issue with xtivreg and unbalanced panel
Date   Thu, 19 Aug 2004 14:05:27 -0400

Thanks a lot Philippe. That was the problem.

Jean Salvati
 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> philippe.vankerm@ceps.lu
> Sent: Thursday, August 19, 2004 4:49 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Issue with xtivreg and unbalanced panel
> 
> 
> 
> 
> 
> 
> Good morning,
> 
> 
> >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.
> 
> 
> I suspect the answer is quite simple.
> 
> x3[_n-1] is conceputally different from l.x3.
> 
> x3[_n-1] refers to the previous value of variable x3 *in your 
> data*. no more no less. l.x3 refers to the value of x3 *at time t-1*.
> 
> If you have panel data, sorted by group id and time, and use
> 
> >by panelvar: generate x3lag=x3[_n-1]
> 
> x3lag will contain the previous observation of x3.
> 
> With unbalanced panel data, and if you have "holes" in the 
> time-series of observations for some groups (use -xtdes- to 
> check that), l.x3 will only be equal to x3lag if "year[_n-1] 
> == year - 1" (here I assume year is your time variable), ie. 
> if data in the previous year is not missing (in which case
> l.x3 is missing).
> 
> For the same reason, l.x3 will not be identified as often as 
> x3lag, so you must expect to have less observations in your 
> regressions.
> 
> >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
> 
> 
> What you describe is consistent with the above explanation, 
> but it is hard to ascertain that without knowing the pattern 
> of missingness/holes in your specific data. That's somethying 
> you need to check by yourself (again
> -xtdes- will help there).
> 
> Hope this helps.
> 
> Best wishes
> 
> Philippe
> 
> 
> 
> 
> 
> <<<>>><<<>>><<<>>><<<>>><<<>>><<<>>><<<>>><<<>>><<<>>>
> Dr. Philippe Van Kerm
> IRISS - Integrated Research Infrastructure in the 
> Socio-Economic Sciences CEPS/INSTEAD BP48, L-4501 
> Differdange, Luxembourg
> >> http://www.ceps.lu/iriss <<
> >> http://econpapers.hhs.se/RAS/pva19.htm <<
> <<<>>><<<>>><<<>>><<<>>><<<>>><<<>>><<<>>><<<>>><<<>>>
> 
> 
> 
> 
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