Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

RE: st: RE: constraints in reg3


From   "Markiewicz, Agnieszka" <Agnieszka.Markiewicz@econ.kuleuven.ac.be>
To   <statalist@hsphsun2.harvard.edu>
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
comparable (and additive): think about GLS with different matrices
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
should give you the additive answers again.

-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
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index