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From |
Raphael Schoenle <schoenle@Princeton.EDU> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: fixed, random effects |

Date |
Mon, 28 Nov 2005 10:33:01 -0500 |

Hi Scott,

I just tried to run the example you sent me- does it work on your computer? (i have stata se/8.2) I get an error message as below.

Thank you very much for the valuable hint!

Best,

Raphael

Here is what I get:

. webuse grunfeld, clear

.

. areg invest mvalue [aw = kstock], ab(com)

Number of obs = 200

F( 1, 189) = 327.94

Prob > F = 0.0000

R-squared = 0.9082

Adj R-squared = 0.9033

Root MSE = 120.16

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

invest | Coef. Std. Err. t P>|t| [95% Conf. Interval]

------------- +----------------------------------------------------------------

mvalue | .2971024 .0164063 18.11 0.000 .2647394 .3294654

_cons | -226.6022 30.39757 -7.45 0.000 -286.5643 -166.6401

------------- +----------------------------------------------------------------

company | F(9, 189) = 18.251 0.000 (10 categories)

.

. rfregk invest mvalue [aw = kstock]

invalid syntax

r(198);

end of do-file

r(198);

On Nov 28, 2005, at 8:50 AM, Scott Merryman wrote:

For fixed effects with weights you could use -areg- and for random effects

you could use Kevin McKinney's -rfregk-

webuse grunfeld, clear

areg invest mvalue [aw = kstock], ab(com)

rfregk invest mvalue [aw = kstock]

Hope this helps,

Scott

________________________________________

From: owner-statalist@hsphsun2.harvard.edu

[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Raphael Schoenle

Sent: Sunday, November 27, 2005 10:18 AM

To: statalist@hsphsun2.harvard.edu

Subject: st: fixed, random effects

Hi everyone,

I have tried to solve a simple problem for days but I can't figure out how

to run it properly in Stata. If someone could give me a hint, this would be

really great.

Basically, I want to run a standard fixed, and random effects regression

(xtreg in STATA) but with _variable_ weights (they correspond to changing

industry shares in the market).

So, for the random effects I tried gllamm but always get an error message of

insufficient observations when I try to use weights.

Here is what I do:

sort ind7090

gllamm dsc dperc dcomp, i(ind7090) pw(wt)

any ideas what goes wrong?

(if there are no weights, then we just get the xtreg dsc dperc dcomp, fe

results.)

Best,

-Raphael

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**Follow-Ups**:**RE: st: RE: fixed, random effects***From:*"Scott Merryman" <smerryman@kc.rr.com>

**References**:**st: RE: fixed, random effects***From:*"Scott Merryman" <smerryman@kc.rr.com>

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