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From |
vwiggins@stata.com (Vince Wiggins, StataCorp) |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: xtreg y,re -last test not found- |

Date |
Thu, 07 Oct 2004 09:55:00 -0500 |

Garry Anderson <g.anderson@unimelb.edu.au> finds that Stata refuses to estimate a random-effects regression when there are no regressors -- a constant-only model, > I am trying to estimate a constant only model with > -xtreg y ,i(varname) re > > The returned error message is > "last test not found" > r(302); > [...] Kit Baum <baum@bc.edu> finds an example that does work, > [...] > webuse grunfeld > xtreg invest, re > > works fine. [...] They are both right, and -xtreg- SOMETIMES has a problem with constant-only models. The difference between Garry's and Kit's data is that Kit's panels are balanced and Garry's are not. By happy accident, the balanced panels cause -xtreg- to skip a step in its computations that it should ALWAYS skip with constant-only models, said step being an attempt to perform a Wald test of the regressors, which is bound to fail when there are no regressors. The good news is that -xtreg- has been fixed to ALWAYS bypass this Wald test when there are no regressors and that fix will be included in the next ado update. The bad news is that if Garry absolutely must get some estimates for his constant-only model, my suggested work around is both convoluted and dangerous. The only workaround I can come up with is to disable the -test- command while running the -xtreg- command. Garry can do this by putting a fake test.ado in the local directory where he is working, then placing that directory at the front of the ado path. Here is a fake -test.ado- ---------------------------------- BEGIN --- test.ado --- CUT HERE ------- program define test exit end ---------------------------------- END --- test.ado --- CUT HERE ------- After putting this in his working directory, Garry can type in Stata, . adopath ++ . to place his working directory at the front of the search path for ados. This leads to more good news and bad news. The good is that -xtreg- will now happily estimate Garry's constant-only model. The bad is that if Garry estimates an -xtreg- model with regressors he will NOT get the standard model Wald test. The worse news is that while Garry stays in this working directory ANY official or unofficial ado files that rely on -test- will be broken in one way or another. Put another way, my work-around breaks at least 2 sacred rules of Stata programming: 1) never create an ado-file with the same name as an official Stata command 2) never put any adopath ahead of the official ado paths (thus letting other ado-files potentially occult official commands. So, if Gary wants to use my workaround, I suggest he create a subdirectory containing only the fake test.ado and a do file to reset his adopath then run his constant-only regression. Start Stata in that subdirectory and run his do-file then exit Stata and go elsewhere to do the rest of his work. Better yet, just wait for the ado update. -- Vince vwiggins@stata.com * * 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/

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