Thank you very much, Vera, I downloaded your article and the stata ado, as your suggestion is a direct solution to my problem. However, I ran xtfevd on my data, but the results I am getting are very strange.
I have panel data for 185 firms over three years. My DV is the firm's return on assets. I have three IV: group (dummy, time invariant), diversification (time-varying) and the interaction group*diversification (time-varying. I also have some control variables: age (time-varying), size (time-varying), two year dummies and six industry dummies (time invariant). So, I defined:
xtfevd roa1 groupc tdec interactionc age size y88 y89 bas cap cdr cns ftb tex, invariant(groupc bas cap cdr cns ftb tex) robust
The results are:
panel fixed effects regression with vector decomposition, robust standard errors
degrees of freedom fevd = 357 number of obs = 555
mean squared error = .0015608 F( 15, 357) = 1.04e+09
root mean squared error = .039507 Prob > F = 0
Residual Sum of Squares = .8662438 R-squared = .7425136
Total Sum of Squares = 3.364232 adj. R-squared = .6004273
Estimation Sum of Squares = 2.497988
------------------------------------------------------------------------------
| fevd_robust
roa1 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
groupc | .0516898 .0010607 48.73 0.000 .0496038 .0537759
tdec | -.0675595 .0045422 -14.87 0.000 -.0764923 -.0586266
interactionc | .1571639 .0009579 164.07 0.000 .1552801 .1590477
age | -.0127348 .0049431 -2.58 0.010 -.0224561 -.0030135
size | .0941073 . . . . .
y88 | 6.30e-11 .0010791 0.00 1.000 -.0021222 .0021222
y89 | -.0194528 .0000104 -1872.31 0.000 -.0194733 -.0194324
bas | .0112112 .0000198 566.14 0.000 .0111722 .0112501
cap | -.005021 .000019 -264.95 0.000 -.0050583 -.0049837
cdr | -.0952531 .0000187 -5107.38 0.000 -.0952898 -.0952164
cns | -.0215131 .0000257 -836.08 0.000 -.0215637 -.0214625
ftb | .2322076 .000028 8284.75 0.000 .2321524 .2322627
tex | .1149538 .0000216 5329.38 0.000 .1149114 .1149962
eta | 1 .0000292 . 0.000 .9999426 1.000057
_cons | .1745182 .0000163 . 0.000 .1744861 .1745502
------------------------------------------------------------------------------
The problem seems to be in the robust standard errors. Do you have any idea why? Thanks.
-----Message d'origine-----
De : owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] De la part de Vera Troeger
Envoyé : mercredi 11 octobre 2006 09:39
À : statalist@hsphsun2.harvard.edu
Objet : Re: st: Fixed-effects models and coefficient for a constant variable
Hello,
I don't want to advertise myself here but there is an article supposed to be in a special inssue in Political Analysis (on panel data) dealing with exactly this problem. We propose a procedure called fevd (fixed effects vector decomposition) that produces coefficients for time invariant variables in a fixed effects framework. There is also a stata ado called xtfevd.ado (a beta version) and help-file (xtfevd.hlp) to estimate the proposed procedure in stata. the paper and the ado can be downloaded from:
http://www.polsci.org/pluemper/xtfevd.htm
there is of course the Hausman-Taylor method and its variants but this is much less efficient as shown in the paper.
Vera
PETITT Barbara schrieb:
> Hello,
>
> I have data for 185 firms over three years (therefore 555
> observations). One of my dependent variables is a dummy variable that
> is constant over the three years. I cannot use a random-effects model,
> as the Hausman test is rejected. But when I use a fixed-effects model,
> I cannot estimate the coefficient for my dummy variable, which is
> problematic, as it is one of the most important variables of my model.
> Is there any fix to this problem? How is it possible to estimate the
> coefficient for a variable that does not vary over time? Thank you.
>
> *
> * 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/
>
>
>
--
Vera E. Troeger
Lecturer in Political Science
Government Department
University of Essex
Wivenhoe Park
Colchester CO4 3SQ
UK
phone: +44 (0)1206 872509
email: vtroe@essex.ac.uk
*
* 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/