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st: RE: Panel FE vs. pooled OLS with demeaned variables


From   "Alice(Libo) Sun" <libosun@mail.utexas.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Panel FE vs. pooled OLS with demeaned variables
Date   Tue, 20 Sep 2005 10:14:12 -0500

Oops. The attached results look displaced. I tried to use smaller front and
it still come out the same way.

It has to do with my outlook options. I haven't found out how to make it
look better.

Alice




-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Alice(Libo)
Sun
Sent: Tuesday, September 20, 2005 10:03 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: Panel FE vs. pooled OLS with demeaned variables


Dear Statalist,


I need to run a two-step regression similar to the fixed effect model.
(Xtreg, fe).

I first replicate the fixed effect results by running pooled OLS with
demeaned variables (demean by groups). Yet, I got same coefficients, but
relative larger t statistics.

I attached the results for the two approaches as follows. Any suggestion
will be appreciated.

Thanks,


Alice


---------------------------------------------------------------------
. regress  dqratios  ddiv_bkrgs  ddiv_bkpts dsizes dwlvgs debitdags dtos

      Source |       SS       df       MS              Number of obs =
839
-------------+------------------------------           F(  6,   832) =
5.71
       Model |  9.47964286     6  1.57994048           Prob > F      =
0.0000
    Residual |  230.110177   832  .276574732           R-squared     =
0.0396
-------------+------------------------------           Adj R-squared =
0.0326
       Total |   239.58982   838  .285906706           Root MSE      =
.5259

----------------------------------------------------------------------------
--
    dqratios |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
  ddiv_bkrgs |  -.0790218   .0611639    -1.29   0.197    -.1990756
.0410319
  ddiv_bkpts |   .1574348   .0536925     2.93   0.003     .0520462
.2628235
      dsizes |   .2569522   .0672621     3.82   0.000     .1249289
.3889755
      dwlvgs |  -.0851709   .0287239    -2.97
0.003    -.1415507   -.0287911
   debitdags |   .0556536   .0272819     2.04   0.042     .0021041
.1092031
        dtos |  -.0469219   .0285672    -1.64   0.101    -.1029942
.0091505
       _cons |  -1.21e-09   .0181562    -0.00   1.000    -.0356374
.0356374
----------------------------------------------------------------------------
--

. xtreg  qratios  div_bkrgs  div_bkpts sizes wlvgs ebitdags tos, fe

Fixed-effects (within) regression               Number of obs      =
839
Group variable (i) : permno                     Number of groups   =
142

R-sq:  within  = 0.0396                         Obs per group: min =
1
       between = 0.0375                                        avg =
5.9
       overall = 0.0466                                        max =
9

                                                F(6,691)           =
4.74
corr(u_i, Xb)  = -0.1086                        Prob > F           =
0.0001

----------------------------------------------------------------------------
--
     qratios |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
   div_bkrgs |  -.0790218   .0671148    -1.18   0.239    -.2107952
.0527515
   div_bkpts |   .1574349   .0589164     2.67   0.008     .0417582
.2731115
       sizes |   .2569522   .0738062     3.48   0.001     .1120409
.4018635
       wlvgs |  -.0851709   .0315185    -2.70
0.007    -.1470545   -.0232873
    ebitdags |   .0556536   .0299363     1.86   0.063    -.0031234
.1144305
         tos |  -.0469219   .0313466    -1.50   0.135    -.1084679
.0146242
       _cons |  -5.08e-10   .0199227    -0.00   1.000    -.0391163
.0391163
-------------+--------------------------------------------------------------
--
     sigma_u |   .9147399
     sigma_e |  .57707052
         rho |  .71531722   (fraction of variance due to u_i)
----------------------------------------------------------------------------
--
F test that all u_i=0:     F(141, 691) =    10.99            Prob > F =
0.0000



----------------------------------------------------------------------------
------










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