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From |
Robert Duval <rduval@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: two stage model variance estimators |

Date |
Thu, 15 Sep 2005 17:41:13 -0400 |

how many years do you have? On 9/15/05, Rachel Bouvier <rbouvier@usm.maine.edu> wrote: > >>> rduval@gmail.com 09/14/05 7:55 PM >>> > it would actually help if you could sent your commands to the list so > that we see what's going on, > best > robert > > Of course. Thank you for your time. > > My first model is regressing the log of GDP on the year (ie, 1996) and > the square of the year (ie, 3984016). Originally, I ran this model > separately for 30 countries. I then obtained the predicted value of the > log of GDP for each of those countries (by using -predict-) and used it > in a second model. > > The suggestion was to interact year and year squared with each of the > countries in the dataset so that I could put them all in one regression, > using the country dummies and the -noconst- option. Seems sensible, but > when I tried it, Stata dropped all the country dummies. Here was my > code (I know there are more parsimonious ways to do this, but...): > > *All the countries are given an index from 1 to 30.* > gen mol =1 if index== 1 > replace mol =0 if index~= 1 > gen arm =1 if index== 2 > replace arm =0 if index~= 2 > > etc. This generated dummies with 1 if the observation belonged to that > country (Moldova is #1, for example). > > Then, I interacted the dummies with both year and year squared: > > gen yrmol=year*mol > gen yr2mol=yearsq*mol > gen yrarm=year*arm > gen yr2arm=yearsq*arm > > etc. > > Finally, I ran a regression that looks like: > > regress lngdp yrmol yr2mol yrarm yr2arm ... mol arm ... , nocons > > where mol = Moldavia, arm = Armenia, and so on. > > When I run this, I get the following (truncated): > > lnpppc1 | Coef. Std. Err. t P>|t| [95% Conf. > Interval] > mol | (dropped) > arm | (dropped) > yrmol | .2019759 1.003532 0.20 0.841 -1.772746 > 2.176698 > yr2mol | -.0001006 .0005037 -0.20 0.842 -.0010917 > .0008904 > yrarm | .149713 .4002733 0.37 0.709 -.6379338 > .9373598 > yr2arm | -.0000744 .0002011 -0.37 0.712 -.0004702 > .0003214 > > However, when I run the following: > > regress lngdp year yearsq if index ==1 > > for example, I do get results. That is what I did in order to get the > predicted variables for the second stage. > > Anything jump out at you? Again, thank you for your time and patience. > -Rachel > > >>> rduval@gmail.com 09/14/05 7:55 PM >>> > it would actually help if you could sent your commands to the list so > that we see what's going on, > best > robert > > On 9/14/05, Rachel Bouvier <rbouvier@usm.maine.edu> wrote: > > Hi again. I tried interacting my xs with country specific dummies > and > > running them in a single equation as suggested. Stata is dropping > the > > country dummies, even though I specify the nocons option. (I > remember > > now that this was why I had originally run it in 30 different > equations > > - it works fine that way, but not if I put them all into one > equation.) > > Am I doing something wrong? It could be because xsq is the square > of > > x, but I don't understand why stata would let me do it for an > individual > > country but not together. Sorry for being obtuse. -Rachel > > > > >>> rduval@gmail.com 09/13/05 4:50 PM >>> > > a possible solution could be to run in a single model the equation > > > > (1) y = b1 x + b2 xsq > > > > interacting your x's with country specific dummies. > > > > In other words, you could run a fully interactive model which is > > equivalent to running 30 different regressions but in a single > > equation. (make sure you include the country specific dummies too > that > > would account for the constant in your separate regressions and > > specify the nocons option). > > > > hope this helps. > > robert > > > > > > On 9/13/05, Rachel Bouvier <rbouvier@usm.maine.edu> wrote: > > > Dear statalisters * > > > > > > I am confronting a problem much like that described by James > Hardin > > in volume 2, issue 3 of the Stata Journal, "The robust variance > > estimator for two-stage models," where he gave an illustration of > Stata > > code to construct the Murphy-Topel variance estimator. > > > > > > I am using a variable (call it yhat), predicted in a first (series > > of) equations, as a regressor in my second equation. > > > > > > In other words, my first (series of) regressions looked like this: > > > (1) y = b1 x + b2 xsq > > > > > > Then, I predicted yhat from that regression, and used that in a > > second regression: > > > (2) z = b1 yhat + b2 x2 + b2 x3* > > > > > > I say "series of" regressions because I have a panel of 30 > countries. > > Rather than run one panel data regression and predict each > country's > > yhat from that, I ran each country as a separate regression, not > wanting > > to assume that they could be pooled. In other words, I ran equation > (1) > > 30 different times, for each country in the dataset. (It seemed to > make > > sense at the time, to both me and my committee!) > > > > > > Therein lies my problem. I would like to adjust the standard > errors > > for the fact that I predicted yhat, but as I ran a different > regression > > for each country, the solution is not as easy as constructing the > > Murphy-Topel estimator. Does anyone have any suggestions? Any help > > would be much appreciated, before I dive into something that is > > undoubtedly over my head. Thanks. > > * > * 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/

**References**:**Re: st: two stage model variance estimators***From:*"Rachel Bouvier" <rbouvier@usm.maine.edu>

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