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Re: st: Re: Time invariant variables and panel data


From   "Christer Thrane" <ch-thran@online.no>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Re: Time invariant variables and panel data
Date   Sat, 27 May 2006 20:19:01 +0200

First q: yes
Second q: No, I don't think so. FE utilizes the changes within persons, so if thing don't change, FE is not viable.

CT
----- Original Message ----- From: "Rho YH" <mania1@korea.ac.kr>
To: <statalist@hsphsun2.harvard.edu>
Sent: Saturday, May 27, 2006 7:44 PM
Subject: RE: st: Re: Time invariant variables and panel data



To be sure, are the "random effects" and "fixed effects" of the answer the -RE and -FE options of xt-
series commands?
Also, as xtgee does not have such option, then can I use time invariant variables anyway?

---- Original Message ----
From : Christer Thrane [ch-thran@online.no]
To : statalist@hsphsun2.harvard.edu
Date : 2006 5 28() 01:38:38
Subject : st: Re: Time invariant variables and panel data


Hi,

If you estimate random effects models, you can have both time-varying and
time-invariant variables on the right hand side.

If you estimate fixed effects models, you must have time-varying on the
right hand side. But fixed effects also handles interactions between
time-varying and time-invariant right hand side variables. (Then the
interaction is no longer time-invariant.)

Take a look at Woldridge's Basic Econometrics. A modern introduction--it's
on Stata website.

HTH

Christer
************************************************
Professor Christer Thrane
Department of Social Science
Lillehammer University College
2626 Lillehammer, Norway
+ 47 61 28 81 70 (fax)
+ 47 61 28 82 47 (phone, work)
+ 47 61 25 53 04 (phone, home)
E-mail, work: christer.thrane@hil.no
E-mail, home: ch-thran@online.no
************************************************



----- Original Message -----
From: "Rho YH"
To:
Sent: Saturday, May 27, 2006 4:48 PM
Subject: st: Time invariant variables and panel data


I have incidentally found that panel data models (as far as I found the
Statalist, xtreg with -FE option)
cannot have time invariant variables and will be automatically omitted
when included.
In a general sense, then all xt- models (including xtgee) cannot have time
invariant variables?
Or in what instance does this fact come in effect?
Second, then does this mean that I cannot use time invariant variables
(like sex (M/F)) even
when these variables may be important?
I have two books about panel data (Twisk, and Sophia Rabe-Hesketh) but did
not find this fact.
Is it written in these books?


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