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st: Re: estout with lags


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: estout with lags
Date   Wed, 30 Aug 2006 06:52:28 -0400

Does not seem to be a problem:

. webuse grunfeld

. xtreg invest L(0/2).mvalue, fe

Fixed-effects (within) regression Number of obs = 180
Group variable (i): company Number of groups = 10

R-sq: within = 0.4236 Obs per group: min = 18
between = 0.8632 avg = 18.0
overall = 0.7411 max = 18

F(3,167) = 40.91
corr(u_i, Xb) = -0.9101 Prob > F = 0.0000

------------------------------------------------------------------------ ------
invest | Coef. Std. Err. t P>|t| [95% Conf. Interval]
------------- +----------------------------------------------------------------
mvalue |
--. | .1713403 .0205473 8.34 0.000 . 1307743 .2119063
L1. | .0716547 .0223469 3.21 0.002 . 0275359 .1157735
L2. | .0418888 .0223545 1.87 0.063 -. 002245 .0860226
_cons | -157.5666 33.89906 -4.65 0.000 -224.4925 -90.64064
------------- +----------------------------------------------------------------
sigma_u | 203.83423
sigma_e | 83.796807
rho | .855428 (fraction of variance due to u_i)
------------------------------------------------------------------------ ------
F test that all u_i=0: F(9, 167) = 17.57 Prob > F = 0.0000

. est store one

. est table *

---------------------------
Variable | one
-------------+-------------
mvalue | .1713403
L.mvalue | .07165468
L2.mvalue | .0418888
_cons | -157.56657
---------------------------

. estout * using junk

one
b
mvalue .1713403
L.mvalue .0716547
L2.mvalue .0418888
_cons -157.5666


Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Aug 30, 2006, at 2:33 AM, Scott wrote:


I've estimated this model

xi:xtreg depvar l(0/2).indepvar i.year, fe i(id) robust

I want to automate -estout- to report both the contemporaneous
parameter estimates of indepvar, as well as the 2 lags.  I do not see
how to do this from the help file.  Is it possible?
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