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From |
"alessia matano" <alexis.rtd@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: xtreg postestimation and regression using residuals or dummies |

Date |
Sun, 30 Sep 2007 19:53:56 +0200 |

Hi to everybody, I have some questions for you about two issues: 1. xtreg , fe postestimation: which are the residuals the option predict, e gives after xtreg, fe?? are the centered or not residuals? I think they are the residuals in absolute levels..but I am not sure 2. the most important question is the following: I have the following model: Yrt=a+bXrt+cQrt+eit (1) where both Yrt and Xrt comes from the aggregation at r level (r say region) of individual varibales (y wages and X average age, percentage of female, etc.) Qrs are a set of aggregate variables by definition (say regional exports) whose I want to study the effect on Y. I directly estimate with a fe model this model and it works. Afterwards some people suggest me to perform in two steps this estimation, in three possible ways, in the way to account for individual observed and unobserved heterogeneity (instead of relying on some average of those, such ase average age...) : A. regressing Yit=a+bXit+eit with a fe model and then take the residuals (added to the constant) the perform the regression on Xrt (like averaging the residuals over rt). In this way it does not work. Anyone of you does know why? B. regressing Yi=a+bXi+Dr+ei for any year with (I suppose) a simple ols model and then keep the estimates for the dummies and put them into the regression Drt=cXrt+urt. C. regressing Yit=a+bXit+Drt+eit with a fe model and then keep the estimates for the dummies and put them into the regression Drt=cXrt+urt. In the last way (I think it is the better) you get the estimates cleaned by observed and unobserved individual heterogeneity. However I know you have to do some manipulations to the estimates in order to get reliable estimates (the dummy are in comparison with a base value), but i do not know exactly which. Can anyone help me? Which of those do you think is more correct, for such an estimation i want to do? It is a robustness check of the estimation (1). Many many thanks for your suggestions alessia * * 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/

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