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st: -xtreg,fe-, whether to drop out individuals participated once


From   Ekaterina Selezneva <eka.selez@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: -xtreg,fe-, whether to drop out individuals participated once
Date   Mon, 21 May 2007 21:51:40 +0200

Dear Statalisters,

I have the following question:

There is a 5 round panel datset, which is unbalanced. Some cases contain missing values for several variables (in the variable of interest as well).

Let's assume, I want to estimate something like -xtreg y x* time*,fe i(id)-

if I exploit the unbalanced dataset "as it is",  Stata estimates the model showing a number of observations per group being from 1 to 5. (in the dataset used in Stata 9 manual it is from 1 to 15).

Reading a panel econometrics textbook, one would find (for example, in Wooldridge, p.267) a rather logical phrase like "when at least two time periods available,... " before the formulas of the fixed effects transtormation.

If following this logic, I would need to drop all the individuls, who participated just once and than estimate the model.  If I do so, the estimate results are slightly different.

Am I right, that it happends due to the fact that in -xtreg,fe- Stata not only substracts the individual means, but also the 'pooled sample mean'?

What would be the best strategy to choose: leave it as it is, or drop those participated once? 

And if the answer is the second option.. should I drop out those two have just one anwser to my question of interest, OR, at Stata performs in the complete cases analysis style, I need leave in my sample just those people who have answered the question at least twice, and moreover, only if they have complete information for all the explanatory variables.

Thanks a lot for any clarification,
Ekaterina


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