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RE: RE: st: suest with large number of fixed effects


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: RE: st: suest with large number of fixed effects
Date   Thu, 13 Sep 2007 16:57:35 +0100

Thanks, Jeff, that's very clear now.

Sounds like there's room for an FAQ or SJ Stata Tip:

Q: How can I get -suest- to work with xtreg,fe or areg?

A: Demean the variables by hand, use -regress-, and call -suest-
clustering on the panel identifier.  When demeaning, be sure to use a
consistently-defined ("centered casewise") sample.

I think I got that right....

--Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
 

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Jeff Pitblado, StataCorp LP
> Sent: 13 September 2007 16:39
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: RE: st: suest with large number of fixed effects
> 
> Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> quoted a post I made 
> regarding -areg- after -suest-:
> 
> > I had forgotten about Jeff's post.  Here is the key extract:
> > 
> > "We've recently discovered that -suest- yields incorrect 
> results when 
> > used after -areg-.  This is not something that can easily be fixed 
> > given that the meat of the sandwich estimator of variance 
> > (Robust/Huber/White VCE) cannot be properly computed due to 
> the fact 
> > that the coefficient estimates for the absorbed categories 
> in -areg- 
> > are not present in -e(b)- (and the corresponding indicators are not 
> > present in the dataset)."
> > 
> > and here's a link to the full post:
> > 
> > http://www.stata.com/statalist/archive/2006-06/msg00874.html
> > 
> > What puzzles me about Jeff's statement is that absorbing 
> > (partialling-out, demeaning, removing through 
> first-differencing) the 
> > fixed effects is no obstacle to using the 
> > sandwich/robust/Huber/White/and-don't-forget-Eicker VCE with other 
> > estimators.
> > 
> > For example, demeaning and using -regress- with -cluster- generates 
> > exactly the same results as -xtreg,fe cluster()- and indeed 
> -areg-, as 
> > this example shows (again using Ben Jann's -center- command):
> > 
> > sort id
> > by id: center ys k n, casewise
> > reg c_ys c_k c_n, cluster(id)
> > xtreg ys k n, i(id) cluster(id) fe
> > areg ys k n, absorb(id) cluster(id)
> > 
> > If it's legitimate to use the robust VCE with transformed 
> individual 
> > equations, shouldn't it also be legitimate to use -suest- 
> to combine 
> > the equations?  The "within-equation" parts of the VCE reported by 
> > -suest- will be the same (though maybe with a different and 
> > asymptotically uninteresting dof adjustment) as that obtained by 
> > estimating the separate equations on their own.  -suest- is just 
> > adding the "cross-equation" part of the VCE.
> > 
> > I'd be very interested in hearing more about this from Jeff 
> or anyone 
> > else.
> 
> Mark is correct regarding the above 'statistical' statements.
> 
> -xtreg, fe- and -areg- have the necessary ingredients, namely 
> the demeaned dependent and independent variables, on hand at 
> the moment they compute the clustered-robust VCE.
> 
> Unfortunately -suest- does not have these ingredients, it 
> only has the dataset currently in memory and the information 
> stored in -e()-.
> 
> The point of my original post was to say that making -suest- 
> work properly after -areg- was going to require adding some 
> special code to -suest- that will only be useful for results 
> from -areg-.
> 
> For the time being we decided to prevent -suest- from working 
> with -areg-s results; we can always revisit this issue in the future.
> 
> --Jeff
> jpitblado@stata.com
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