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RE: st: -xtreg,fe-, whether to drop out individuals participated once
> -----Original Message-----
> From: email@example.com
> [mailto:firstname.lastname@example.org] On Behalf Of
> Ulrich Kohler
> Sent: 22 May 2007 07:46
> To: email@example.com
> Subject: Re: st: -xtreg,fe-, whether to drop out individuals
> participated once
> Ekaterina Selezneva wrote:
> > 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*
> > 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.
> There might be a difference in the constant and in sigma_u,
> but there shouldn't be a difference in the coefficients of
> the independent variables.
> In a fixed effects model the 1-observation-only respondents
> do not contribute to the calculation of the coefficients. As
> long as you only interpret the coefficients of the
> independent variables it really doesn't matter whether your
> drop these observations, or not,
> The sigma_u is the standard deviance of the dummies for the
> individuals. You can interpret this statistic as a measure
> for how much the individuals differ in their average value of
> the dependent variable. If you want to interpret it that way
> it is your choice wheter you want to drop the
> 1-observation-only respondents, or not. If you only want to
> talk about people, who are observed more than once, drop them.
Just a couple of things to add to what Uli said above.
- If I'm not mistaken, dropping the singletons (one-observation groups)
will affect the estimate of the constant. This is because Stata's
xtreg,fe uses between-group variation to get the constant (I find this
approach a little odd, but maybe it's just me).
- If you want fixed effects estimates that drop singletons, and you
don't need an estimate of the constant, you can use -xtivreg2-. As well
as panel IV, -xtivreg2- will do fixed effects estimates for the case
where all regressors are exogenous.
Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
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