[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
Kit Baum <baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: panel est with varying coeff over indivs |

Date |
Thu, 4 Oct 2007 06:24:45 -0400 |

Only Yong-Seok wants to consider the variation in coefficients over industries random. For that to work, you would have to satisfy the usual assumptions about random effects: they must be independently distributed of X. That may well not be the case.

In a fixed effects context, what you need to do is organize your data in the long structure, where each block is subscripted ij, and then define a new counter

egen unit = group(country industry)

Then you can

tsset unit time

To create industry dummies,

tab industry, gen (IND)

Drop one, and interact each of them with X in a forvalues loop creating x1, x2, ... xg

Then

xtreg y x1-xg , fe

will give you a country-industry fixed effect with an industry- specific coefficient on X.

Kit Baum, Boston College Economics and DIW Berlin

http://ideas.repec.org/e/pba1.html

An Introduction to Modern Econometrics Using Stata:

http://www.stata-press.com/books/imeus.html

On Oct 4, 2007, at 2:33 AM, Maarten wrote:

- --- Yong-Seok Choi <choiys95@gmail.com> wrote:Could you please help me out in setting the following panel regression in Stata? The regression model is Y_ijt = alpha_ij + beta_j * X_ijt + e_ijt where i : country j : industry t : time. That is, alpha_ij is country-industry specific fixed effect and the coefficient b_j is allowed to vary across industries.This seems to be a problem for -xtmixed-, see: -help xtmixed-.

* * 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/

- Prev by Date:
**RE: st: Bootstrap with time series models** - Next by Date:
**Re: st: How to append one graph to another** - Previous by thread:
**[no subject]** - Next by thread:
**Re: st: How to append one graph to another** - Index(es):

© Copyright 1996–2015 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |