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Re: st: panel data regression question (Stata and statistical question)
Any fixed-effects routine will drop any explanatory variables that
remain constant within all cases. That isn't a characteristic of
Stata; it is a characteristic of that estimator.
One work around that may possibly (?) be theoretically applicable is
to interact the unchanging explanatory variable with another
explanatory variable that does change. The resulting product will
change, so the coefficient on this interaction term can be estimated
in a fixed-effects model.
But, of course, using this approach means that the uninteracted
variable that does change must be included in the model as well. The
other main effect captured by the unchanging component of this
product term need not (and in fact could not) be included in the
model. This work around is not always applicable because theoretical
considerations rule it out or statistical difficulties such
collinearity (sp?) make it impossible.
At 01:47 PM 3/21/2007, you wrote:
I am new to Stata as I largely use SPSS.
I will explain my problem:
I have 2 years of data to do with the number of disclosure items
(TOTALITEM) a company discloses on
its own website and the number of items that are disclosed on the
government website for that
I have a number of explanatory variables, 2 of which are dummy
variables like Industry (Computing
or Non-Computing) and Location (UK or not). Also, proportion of
foreign shareholders (PROPFOR) which
does not vary over the 2 years.
I have some continuous explanatory variables which do vary over the
2 years, ie LOGSIZE (company's
Using Stata, I have been looking at Fixed, Between and Random
Effects models using Panel Data.
I have gone to Statistics Time Series Setup and Utilities and
declared dataset to be time series
and the time is YEAR (2005 and 2006) and Panel ID is Subject so my
data looks like:
Subject YEAR TOTALITEM Industry LOGSIZE
1 2005 20 1 18
1 2006 30 1 20
2 2005 50 0 25
2 2006 60 0 30
So to choose between Fixed effects or Random effects, I type the command:
1) xtreg totalitem propfor industry location logsize,fe
2) estimates store fixed
3) xtreg totalitem propfor industry location logsize,re
4) estimates store random
5) hausman fixed random
1) the fixed effects model in the output shows the coefficients for
the independent variables which
vary across time, ie LOGSIZE and PROPFOR but those that do not vary
2) the random effects model shows coefficients for all independent
variables in the model.
3) hausman indicates no insignificant p-value
Therefore, this indicates I should use fixed effects model instead
of random. My question is how do
I now specify a fixed effects model in Stata which shows me all the
coefficients of all independent
variables as running the command
xtreg totalitem propfor industry location logsize,fe
will drop those that do not vary over 2 years.
Sorry, but I am only a beginner in Stata.
Application support specialist (Statistics and Databases),
University Infrastructure Group (UIG),
Tel. 02920 (875035).
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