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Re: st: Re: Two-way random model for Panel Data


From   "V. Sarafidis" <vs242@cam.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: Two-way random model for Panel Data
Date   01 Mar 2005 17:10:21 +0000

Daniel,
it may be wise to rethink if you really need/wish to estimate a two-way random effects model. The assumption of modeling the cross-sectional specific effects as random requires a large cross-sectional dimension (N). Further, the assumption of modeling the time effects as random requires that you have a large number of time periods available (T), i.e. that T is large relative to N, which is rarely the case in practice - that's why STATA cannot readily do that, I suppose. And remember that if T>N, then you don't need to use a panel regression - this is too restrictive, you can use SURE.

Vasilis


On Mar 1 2005, daniel perez wrote:


Mark,

Do you have any suggestion to compute a two-way random
effects model ?
Thanks Daniel

--- Mark Schaffer <M.E.Schaffer@hw.ac.uk> a écrit : > These won't be two-way random effects estimations;
> they will be a
> combination of one-way random effects and one-way
> fixed fixed. Which may be
> good enough for your purposes...
> > --Mark
> > Quoting daniel perez <zerepda@yahoo.com>:
> > > Just another detail Ricardo...Do I have to
> interpret
> > i.consi and i.const as dummies variables or ...
> And in
> > your example, you didn't specify the panel
> variable
> > and the time dimension variable ???
> > > > --- Ricardo Gonçalves Silva
> <ricardogs@terra.com.br>
> > a écrit : > > > Hi,
> > > > > > just add re or mle after comma to get GLS
> two-way
> > > random effects or > > > maximum-likelihood random-effects estimator.
> > > > > > xi: xtreg y x i.consi i.const. re
> > > xi: xtreg y x i.consi i.const, mle
> > > > > > I believe this is what u want.
> > > > > > Cheers
> > > > > > Ricardo
> > > ----- Original Message ----- > > > From: "daniel perez" <zerepda@yahoo.com>
> > > To: <statalist@hsphsun2.harvard.edu>
> > > Sent: Tuesday, March 01, 2005 9:51 AM
> > > Subject: Re: st: Re: Two-way random model for
> Panel
> > > Data
> > > > > > > > > > Hi thank you but I'm now looking for the two
> way
> > > model
> > > > with random effects specification...
> > > >
> > > > Your suugestion is the fixed effect approach.
> > > > Cheers Daniel
> > > > --- Ricardo Gonçalves Silva
> > > <ricardogs@terra.com.br>
> > > > a écrit :
> > > >> Hi
> > > >>
> > > >> The correct syntax is:
> > > >>
> > > >>
> > > >>
> > > >> The common constant a0 is automatic added to
> your
> > > >> model.
> > > >>
> > > >> Ricardo
> > > >> ----- Original Message ----- > > > >> From: "daniel perez" <zerepda@yahoo.com>
> > > >> To: <statalist@hsphsun2.harvard.edu>
> > > >> Sent: Monday, February 28, 2005 2:01 PM
> > > >> Subject: st: Two-way random model for Panel
> Data
> > > >>
> > > >>
> > > >> > Hi everybody,
> > > >> >
> > > >> > I hope I'll find somebody which is able to
> get
> > > >> > through a specification problem with panel
> > > data.
> > > >> >
> > > >> > I want to compute a two-way random a model
> like
> > > >> this
> > > >> > one:
> > > >> >
> > > >> > yi,t= a0+consi+const+ b1Xi,t+epsiloni,t
> > > >> >
> > > >> > where a0 is a common constant and consi is
> a
> > > >> > country specific constant and const is a
> > > specific
> > > >> time
> > > >> > constant.
> > > >> > I used xtreg y x dummy (for time period),re
> > > >> i(country)
> > > >> > but I'm not sure that it's the correct way
> > > >> > to formulate this two-way model under
> random
> > > >> effects
> > > >> > approach...
> > > >> >
> > > >> > Thank in advance for any help
> > > >> > Daniel
> > > >> >
> > > >> >
> > > >> >
> > > >> >
> > > >> >
> > > >> >
> > > >> >
> > > >> >
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