# RE: st: RE: constraints in reg3

 From "Markiewicz, Agnieszka" To Subject RE: st: RE: constraints in reg3 Date Wed, 29 Sep 2004 14:27:50 +0200

```Dear friends,

I have an ordered logit model that I would like to estimate.
How can I test for the poolability of my data?

Aga

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Stas
Kolenikov
Sent: Wednesday, September 29, 2004 2:20 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: RE: constraints in reg3

On Wed, 29 Sep 2004 11:33:08 +0100, Neumayer,E <e.neumayer@lse.ac.uk>
wrote:
> Hi, this takes up a thread from about 4 weeks ago. Kit Baum clarified
that if you do
>
> 1. reg y x1 x2
> 2. reg y1 x1 x2
> 3. reg y2 x1 x2
>
> and y = y1 + y2, then the coefficient vector of model 1 is the sum of
the coefficient vectors on models 2 and 3.
>
> I did this with xtpcse for data that have both cross-sectional and
time-series dimension and find this to be true, of course. However, if I
specify xtpcse, corr(ar1) then the coefficient vectors of models 2 and 3
no longer add up to the coefficient vector of model 1. I presume this is
because xtpcse, corr(ar1) uses Prais-Winsten, whereas xtpcse without the
corr(ar1) option uses OLS. I have two questions:
>
> a. Can anyone explain why the coefficient vectors of models 2 and 3 no
longer add up to the coefficient vector of model 1 if xtpcse, corr(ar1)
is used?

IMHO:

I would suspect that -xtpcse- comes up with different estimates of the
AR(1) correlation coefficient, and that's where the models stop being
inside; they won't add up, although there might be a way to combine
the results with messy and ugly matrix algebra. If it were possible to
restrict the rho to be the same across the two models, then they

-xtpcse- does not provide for fixing the rho; -xtregar- does with
-rhof()- option, so that may be something you might want to try out.

> b. Should I accept that the coefficient vectors no longer add up or
should I artificially restrict them to be the same?

No good answer from me. You should have a better feel for your
particular substantive problem.

--
Stas Kolenikov
http://stas.kolenikov.name
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```