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st: Opinions requested on an interaction panel regression


From   "Thomas Jacobs" <thomasjacobs@gmail.com>
To   StataList <statalist@hsphsun2.harvard.edu>
Subject   st: Opinions requested on an interaction panel regression
Date   Mon, 22 Oct 2007 19:03:54 -0500

I am trying to perform a fixed effects panel regression with cluster
along the firm dimension where I am trying to explain a daily firm
market spread in terms of a daily firm modeled spread and that modeled
spread interacted with a dummy for each of twenty firm rating
categories.  My question is whether the strong statistical
significance still has meaning given that when one adds many of the
interaction coefficients to the base firm model spread coefficient the
result is close to zero.  Any thoughts would be appreciated.  Output
follows:

. xi: xtreg slope15y i.moodyrating|Mslope15y swap15slope, fe
vce(cluster mktconum)
i.moodyrating     _Imoodyrati_0-19    (naturally coded; _Imoodyrati_0 omitted)
i.mood~gMs~15y   _ImooXMslo_#        (coded as above)
note: robust covariance is not full rank; F test numerator degrees of
freedom is 20	instead	of
>  21

Fixed-effects (within) regression               Number of obs      =    166351
Group variable: mktconum                        Number of groups   =       190

R-sq:  within  = 0.2843                         Obs per group: min =         9
between = 0.4482                                        avg =     875.5
overall = 0.3139                                        max =      1493

F(20,189)          =    340.39
corr(u_i, Xb)  = 0.1384                         Prob > F           =    0.0000

(Std. Err. adjusted for 190 clusters in mktconum)

Robust
slope15y       Coef.   Std. Err.      t    P>t     [95% Conf. Interval]

Mslope15y    .8421038   .1025912     8.21   0.000      .639733    1.044475
_ImooXMslo_1   -.2351284   .0403382    -5.83   0.000    -.3146995   -.1555574
_ImooXMslo_2   -.6510598   .1111743    -5.86   0.000    -.8703616    -.431758
_ImooXMslo_3   -.5825345   .1362484    -4.28   0.000    -.8512975   -.3137716
_ImooXMslo_4   -.8162742   .1011095    -8.07   0.000    -1.015722   -.6168261
_ImooXMslo_5   -.8239694    .102474    -8.04   0.000    -1.026109   -.6218296
_ImooXMslo_6   -.8419379   .1045057    -8.06   0.000    -1.048085   -.6357904
_ImooXMslo_7   -.8438201   .1048161    -8.05   0.000     -1.05058   -.6370603
_ImooXMslo_8   -.8060444       .105    -7.68   0.000    -1.013167   -.5989219
_ImooXMslo_9   -.8368847   .1060561    -7.89   0.000     -1.04609    -.627679
_ImooXMsl~10   -.8185907   .1042997    -7.85   0.000    -1.024332   -.6128495
_ImooXMsl~11   -.7526583   .1029494    -7.31   0.000    -.9557356   -.5495809
_ImooXMsl~12   -.8299127   .1012824    -8.19   0.000    -1.029702   -.6301234
_ImooXMsl~13   -.7959784   .1073662    -7.41   0.000    -1.007768   -.5841882
_ImooXMsl~14    -.854819    .102767    -8.32   0.000    -1.057537   -.6521013
_ImooXMsl~15   -.7806554   .1084974    -7.20   0.000    -.9946768   -.5666341
_ImooXMsl~16   -.9274818   .1939613    -4.78   0.000    -1.310089   -.5448747
_ImooXMsl~17    -.842949   .1033795    -8.15   0.000    -1.046875   -.6390232
_ImooXMsl~18    .0061745   .1018397     0.06   0.952    -.1947139    .2070629
_ImooXMsl~19   -.6648868   .1018489    -6.53   0.000    -.8657935   -.4639801
swap15slope   -.1419077    .030575    -4.64   0.000    -.2022198   -.0815956
_cons    .0048621   .0003458    14.06   0.000     .0041799    .0055442

sigma_u   .00455044
sigma_e   .01011707
rho   .16826102   (fraction of variance due to u_i)



-- 
Thomas Jacobs
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