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st: Re: xtreg reports a range of obs per group that I don't understand


From   "Michael Blasnik" <michael.blasnik@verizon.net>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: xtreg reports a range of obs per group that I don't understand
Date   Wed, 29 Sep 2004 10:53:00 -0400

You include an -if- statement in you xtreg command, but not in your counting
command, so groupsize may be >=4, but there may not be 4 observations that
meet the piv criteria.  You may want to change you group size calc to:

egen group_size=sum(piv>=1 & piv<50), by(permno)

Michael Blasnik
michael.blasnik@verizon.net


----- Original Message ----- 
From: "M. Douglas Berg" <eco_mdb@shsu.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, September 29, 2004 10:39 AM
Subject: st: xtreg reports a range of obs per group that I don't understand


> Hello,
>
>  I am using xtreg to estimate the relationship between market price "p"
> and a computed intrinsic value "iv". The data is organized by company
> identifier "permno" and year "yr". The variable "piv" is the ratio of
> "p" divided by "iv". I create a variable called group_size to represent
> the number of observations per permno. I then drop observations where
> group_size is less than 4. In other words I want each company in my
> dataset to have at least 4 years worth of data. When I do
>     xtreg p iv if  piv>=1 & piv<50, re
> the output reports that the minimum number of observations per group is
> 1. I was expecting that this number should be 4 or greater. Could
> someone please explain?
> I include part of the log file below.
>
> Thanks for any help you may provide.
>
> Doug Berg
>
> --------------------------------------------------------------------------
-----------------------
>  use astockdata.dta, clear
>
> .
> . tsset permno yr
>        panel variable:  permno, 10001 to 93113
>         time variable:  yr, 1968 to 2002, but with gaps
> . /*  Create a group size variable. Drop permno groups where there are
> fewer than 4 observat
>  > ions. */
> . gen group_size=0
>
> .
> . by permno: replace group_size=_N
> (51463 real changes made)
>
> .
> . drop if group_size < 4
> (4347 observations deleted)
>
> . /* Performing the Hausman test */
> .
> . xtreg p iv if piv>=1 & piv<50, re
>
> Random-effects GLS regression                   Number of obs      =
> 34147
> Group variable (i): permno                      Number of groups
> =      4074
>
> R-sq:  within  = 0.1542                         Obs per group: min
> =         1
>        between = 0.4861                                        avg
> =       8.4
>        overall = 0.3070                                        max
> =        30
>
> Random effects u_i ~ Gaussian                   Wald chi2(1)       =
> 8031.61
> corr(u_i, X)       = 0 (assumed)                Prob > chi2        =
> 0.0000
>
> --------------------------------------------------------------------------
----
>            p |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
> Interval]
> -------------+------------------------------------------------------------
----
>           iv |   .8689448    .009696    89.62   0.000      .849941
> .8879485
>        _cons |   17.02923   .2104142    80.93   0.000     16.61682
> 17.44163
> -------------+------------------------------------------------------------
----
>      sigma_u |  10.679944
>      sigma_e |  14.693601
>          rho |  .34567866   (fraction of variance due to u_i)
> --------------------------------------------------------------------------
----
>
<snip>


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