Statalist


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

Re: st: Panel with low within variance and -xtfmb-


From   nicola.baldini2@unibo.it
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel with low within variance and -xtfmb-
Date   Sat, 06 Oct 2007 12:33:35 +0200

Package -xtfevd- from http://www.polsci.org/pluemper may help. It is a module to estimate time-invariant and rarely changing variables in panel data models with fixed effects.
Nicola

At 02.33 05/10/2007 -0400, "Ivan Etzo" wrote:
>Hi,
> 
>I'd like to test a basic form of my model (panel T=3D7 N=3D380) with= one regressor that is time invariant and two regressors that have low wi= thin variance with the following percentage
> 
>Y: 15%
>X1: 0.6%
>X2:0.6%
>X3:0
> 
>hausman test rejects the RE model (using -xtreg-) so I cannot estima= te the model with the time invariant regressor that for me it's very impo= rtant. 
> 
>I tried the -xtfmb- which is an implementation of the Fama and MacBe= th (1973) two step procedure, I report the very clear description of the = command from the help
> 
>-xtfmb- "is an implementation of the Fama and MacBeth (1973) two ste= p procedure. The procedure is
>    as follows: In the fi= rst step, for each single time period a cross-sectional regression is
>=     performed. Then, in the second step, the final coeffic= ient estimates are obtained as the
>    average of the f= irst step coefficient estimates."
> 
>The coefficient I obtain from this procedure are practically the sam= e with the RE model.. I attached the results  below. I wonder whethe= r the -xtfmb- produces inconsistent estimates as well.. any help would be= very appreciated.
> 
>Ivan
>
>Random-effects GLS regression = ;Number of obs      =3D 2660
>Group varia= ble (i): region Number of groups   =3D 380
> 
>R-sq:  within =3D 0.0097 Obs per group: min =3D = 7
>between =3D 0.8153 avg =3D 7.0
>overall =3D 0.= 7953 max =3D 7
> 
>Random effects u_i ~ Gaussian Wald chi2(3)  &nbs=
>p;    =3D 1665.29
>corr(u_i, X) =3D 0 (assumed= ) Prob > chi2        =3D = 0.0000
> 
>   
>lnmig | Coef.   Std. Err. = z    P>|z|     [95% Conf. Inte= rval]
>   
>lndpop | .9560363   .033868= 9 28.23   0.000     .8896544 1.02= 2418
>lnopop | 1.023108   .0338689 30.21  = ; 0.000     .9567262 1.08949
>lndist | -.= 3231335   .0587596 -5.50   0.000  &nbs=
>p; -.4383002 -.2079668
>_cons | -21.17337    .= 799259 -26.49   0.000    -22.73989 -19= =2E60685
>   
>sigma_u | .68680964
>sigma_e |&n=
>bsp;.27499318
>rho | .86183578   (fraction of varia= nce due to u_i)
>   
> 
>
>Fama-MacBeth (1973) Two-Step procedure&nbs=
>p;Number of obs     =3D 2660
>  Num.= time periods =3D 7
>  F(  3,   &nbs=
>p; 6)     =3D 11189.96
>  Prob > = F          =3D 0.0000  avg. R-squared    =3D 0.7962
> &=
>nbsp; 
> |        &nb=
>sp;   Fama-MacBeth
>lnmig |     = ; Coef.   Std. Err.      t P>|= t|     [95% Conf. Interval]
>   = ;
>lndpop |   .9552167   .0101939  &=
>nbsp; 93.70 0.000     .9302731 .9801604
>= lnopop |   1.017995   .0061794   164.7= 4 0.000     1.002874 1.033115
>lndist&nbs=
>p;|  -.3232731   .0117134   -27.60 0.000&nb=
>sp;   -.3519349 -.2946114
>_cons |  -21.08686&=
>nbsp;  .1716352  -122.86 0.000    -21.50683=  -20.66688
>  

*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index