Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: RE: RE: Re: RE: panel data analysis using xtregar


From   "Salvati, Jean" <JSalvati@imf.org>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: Re: RE: panel data analysis using xtregar
Date   Tue, 29 Nov 2005 09:40:00 -0500

Julius,

You may also want to look at the bias-corrected LSDV estimator implemented in the Stata module xtlsdvc by Giovanni Bruno. See the following page:

http://ideas.repec.org/c/boc/bocode/s450101.html 

Jean Salvati

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Julius Frédéric André
> Sent: Tuesday, November 29, 2005 3:19 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: RE: Re: RE: panel data analysis using xtregar
> 
> Thanks to Rodrigo and Steve for taking the time to comment, I 
> will consider these in my work.
> 
> Regards,
> 
> JULIUS
> 
> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Rodrigo Alfaro
> Sent: 27 November 2005 17:17
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Re: RE: panel data analysis using xtregar
> 
> Julius, first lagged dependent variable (LDV) with xtreg, fe 
> and xtregar is not the same. xtregar works like 
> Cochrane-Orcutt regression (meaning you have the first 
> observation... read Autocorrelation section in any textbook 
> to learn about it)... for that purpose you have to set what 
> kind of rho will be in your regression (option rhotype)... 
> the default is Durbin-Watson. 
> Details of the formula appear in the manual reference. If the 
> coefficient of your LDV is near to 1 maybe you have a Unit 
> Root case (note that this coefficient is downward-biased if 
> it is positive Nickell 1968). There is a huge (and maybe more 
> than that) about LDV+FE versus Arellano-Bond (1991, GMM 
> estimator), Anderson-Hsiao (1981, IV estimator)... it seems 
> to me that the bias generated by LDV+FE it is not so bad in 
> compare with weak instruments. 
> Hahn-Kuersteiner (2000) propose an asymptotic correction for 
> that parameter... all these is available in Arellano's book. Rodrigo.
> 
> 
> ----- Original Message -----
> From: "Steve Stillman" <stillman@motu.org.nz>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Saturday, November 26, 2005 8:48 PM
> Subject: st: RE: panel data analysis using xtregar
> 
> 
> > Julius.  It is not exactly clear what your model is here, but, in 
> > general,
> 
> > panel data models with lagged dependent variables cannot be 
> > consistently estimated by directly entering the lagged 
> variable as a 
> > RHS variable.  It sounds like you should have a look at xtabond and 
> > the user-written
> > xtabond2 for your model.
> >
> > Cheers,
> > Steve
> >
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Julius 
> > Frédéric André
> > Sent: Sunday, November 27, 2005 7:26 AM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: panel data analysis using xtregar
> >
> >
> > Dear statalist,
> >
> > Currently researching balanced panel data using insolvency 
> prediction 
> > estimates for different companies and regressing them (among other 
> > controlling, time-variant variables) on time dummies to 
> evaluate the 
> > effects of a policy introduction in a certain year. I am 
> using xtreg, 
> > fe for evaluation, the panel is described by t=12 and 
> i=110. I presume 
> > autocorrelation of the insolvency predictor (ie. the dependent 
> > variable) and therefore constructed a dataset with a lagged 
> variable 
> > for the insolvency predictor, hence also had to eliminate the first 
> > period of the original dataset. It turned out that the estimator of 
> > the lagged variable is indeed highly significant.
> >
> > Now I also consider using xtregar. Being new to stata (also 
> to panel 
> > data and time series analysis), however, I unfortunately could not 
> > find the underlying formula used by Stata up to now. Would such an 
> > autoregressive model be similar to the approach I did manually with 
> > introducing a lagged variable and deleting the values of the first 
> > period for each I? The stata result being different for the AR(1) 
> > model and the fixed-effect model including a lagged variable do not 
> > corroborate this assumption, so I assume some other 
> underlying model.  
> > I know that an AR appproach incorporates past values, but does this 
> > mean the past error term, the past dependent or the past 
> independent 
> > variable (or all of them)? It would be of great help if 
> someone could 
> > provide a formula here or give a brief statement if I 
> should resort to 
> > xtregar at all if I assume autocorrelation anyways (so that the 
> > applying AR is simply not necessary anymore).
> >
> > Additionally, I would like to backup my decision to include 
> a lagged 
> > variable in the model by testing on autocorrelation, using a 
> > Durbin-Watson substitute for panel data, such as Bhargava et al. I 
> > know that Stata can calculate this statistic when using xtregar, 
> > however, it seems to me that the reported output is the 
> result AFTER 
> > applying the AR (1) model, indicating only the presence or 
> absence (or 
> > degree) of autocorrelation left after using the AR model? Is this 
> > correct, or does the test statistic indicate autocorrelation before 
> > using the AR model?
> >
> > Lastly, I am not sure whether I could also use the Baltagi-Wu test 
> > score alternatively, seeing to it that I have a balanced 
> dataset. Is 
> > this test statistic only working with unbalanced data?
> >
> > The three preceding issues certainly are still on a somewhat basic 
> > level, however, I would definitely appreciate useful 
> comments on any 
> > or all of these!
> >
> >
> > Thank you very much in advance,
> >
> > JULIUS ANDRE
> >
> >
> > *
> > *   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/
> > 
> 
> *
> *   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/
> 

*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index