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From |
"Wallace, John" <John_Wallace@affymetrix.com> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: re: missing dummy variable |

Date |
Wed, 10 Oct 2007 14:35:05 -0700 |

Thanks Kit, but the coefficient is the easy part! It's the confidence intervals I'm scratching my head over. Is this something that can be dug out of the e(V) matrix or the like? -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kit Baum Sent: Wednesday, October 10, 2007 2:11 PM To: statalist@hsphsun2.harvard.edu Subject: st: re: missing dummy variable John said Agreed - although I have occasions in the data I work with where the grand mean itself is of interest, and the variation of the coefficients from that mean is useful (hence my interest in -xi3- ). The problem is the missing coefficient for one of the indicators. No problem. As I said before, the algebra isn't hard--it's just a pain to do with -lincom-. Recall that if you have a constant term that estimates the grand mean, the sum of dummy coefficients around that mean is zero by construction. Therefore the missing coefficient is minus the sum of those which you estimate. That is easily seen in your first example using e.foreign; the missing coefficient is just -1 * the included coefficient. But as I say doing that for two dozen included coeffs. is painful. Kit 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 * * 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/ * * 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/

**References**:**st: re: missing dummy variable***From:*Kit Baum <baum@bc.edu>

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