Thank you Nicola,
I read the paper and used the command xtfevd. I then runned a fixed effect estimation using regress with xi: to generate groups dummies, which allows for the estimation of time invariant variables, but I found quite different coefficient for the time invariant (while time variant are the same). I'm now wondering which is the difference of using the two different techinques..
Moreover, estimates of time variant variables from xtfevd are the same as those obtained with xtreg ( fe opt). I understand that xtreg is a within estimation which takes into account only variation across time (years) within each individual, the point is that my time variant variables are "almost time invariant", that is their within variation is very small compared to the between one.
Ivan
Original Message
Date: 10/06/07 13:12:03
Subject: Re: st: Panel with low within variance and xtfmb
Package xtfevd from http://www.polsci.org/pluemper may help. It is a module to estimate timeinvariant 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 crosssectional 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
>
>Randomeffects GLS regression = ;Number of obs =3D 2660
>Group varia= ble (i): region Number of groups =3D 380
>
>Rsq: 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)
>
>
>
>FamaMacBeth (1973) TwoStep 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. Rsquared =3D 0.7962
> &=
>nbsp;
>  &nb=
>sp; FamaMacBeth
>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
>
