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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/

**Follow-Ups**:**Re: st: Panel with low within variance and -xtfmb-***From:*"Ivan Etzo" <ivanetzo@hotmail.com>

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