Hi, I am using xtivreg2 to estimate a fixed effects model with
"correct se's", ie, both heteroskedasticity and serial correlation
robust.
the data is a balanced panel of counties, 1991-1999.
We have year effects in there, but we cannot seem to get a constant
term in the regression. Are we doing something wrong? I searched
statalist but could not find anything...
Thanks
Pierre
--------------------------------
. tsset fips year;
panel variable: fips, 1003 to 56021
time variable: year, 1991 to 1999
. xi: xtivreg2 loghmoenrollees
logpop loginc logpop65 logpop15 lognwhite logmdfp logmdnfp
i.year, robust fe bw(3);
i.year _Iyear_1991-1999 (naturally coded; _Iyear_1991 omitted)
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 560 Obs per group: min = 9
avg = 9.0
max = 9
OLS regression with robust standard errors
------------------------------------------
Heteroskedasticity and autocorrelation-consistent statistics
kernel=Bartlett; bandwidth=3
time variable (t): .
group variable (i): fips
Number of obs = 5040
F( 15, 4465) = 46.51
Prob > F = 0.0000
Total (centered) SS = 7772.500295 Centered R2 = 0.2324
Total (uncentered) SS = 7772.500295 Uncentered R2 = 0.2324
Residual SS = 5966.546306 Root MSE = 1.154
------------------------------------------------------------------------------
| Robust
loghmoenro~s | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
logpop | 9.236974 2.213715 4.17 0.000 4.898173 13.57578
loginc | -1.267983 .7580286 -1.67 0.094 -2.753692 .2177256
logpop65 | -2.955111 .7997608 -3.69 0.000 -4.522614 -1.387609
logpop15 | -7.820074 1.613504 -4.85 0.000 -10.98248 -4.657665
lognwhite | -.9190482 .9299859 -0.99 0.323 -2.741787 .9036906
logmdfp | 1.386816 .3748129 3.70 0.000 .6521959 2.121436
logmdnfp | -.121715 .1130446 -1.08 0.282 -.3432785 .0998484
_Iyear_1992 | .3863159 .0778425 4.96 0.000 .2337475 .5388843
_Iyear_1993 | .8241919 .1151342 7.16 0.000 .5985329 1.049851
_Iyear_1994 | 1.148836 .1434591 8.01 0.000 .8676612 1.43001
_Iyear_1995 | 1.460995 .1694574 8.62 0.000 1.128865 1.793126
_Iyear_1996 | 1.684981 .2008649 8.39 0.000 1.291293 2.078669
_Iyear_1997 | 1.821555 .2342937 7.77 0.000 1.362347 2.280762
_Iyear_1998 | 1.902581 .2735162 6.96 0.000 1.366499 2.438663
_Iyear_1999 | 1.874201 .3029448 6.19 0.000 1.28044 2.467962
------------------------------------------------------------------------------
----------------------------------------------------------------------------------
Pierre Azoulay
Associate Professor of Management
Columbia University Phone: (212) 854-9684
Graduate School of Business Fax: Don't send any
3022 Broadway, Uris Hall 704
New York, NY 10023 http://www.columbia.edu/~pa2009/
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