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From |
"Brent Fulton" <fultonb@berkeley.edu> |

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

Subject |
st: first-differenced model with time-invariant variables |

Date |
Fri, 25 Jul 2008 23:18:25 -0700 |

Dear Statalist, I am using Stata 9.2 estimating a first-differenced regression model. I first-difference the variables myself, so am using -regress-. For a key time-varying independent variable (x), I want to estimate whether its association with the dependent variable varied by a person's sex. Because sex is time-invariant, it dropped out of the model. If I interact sex with x, I was wondering if the estimators would remain being consistent and their standard errors would remain being asymptotically valid? This issue was touched on in a previous thread, http://www.stata.com/statalist/archive/2006-10/msg00352.html, which refers to Plumper and Troeger (2007), which uses a three-stage model to estimate parameters for time-invariant variables in a fixed effects (or time-demeaned) model. Hence, if I simply use specification (1) below, I'm concerned about that I might not be estimating consistent estimators with valid standard errors. Let "d" be the delta symbol e.g., dy(i) = y(i,t) - y(i,t-1) Let u be the error term (1) dy = B0 + B1dx + B2dx * male + B3 male + time dummies + du Below is another specification (2) that includes dx*male, but removes male by itself. However, now each variable within the interaction term is not separately included in the model. I assume this doesn't solve the problem? (2) dy = B0 + B1dx + B2dx * male + time dummies + du I'd appreciate your advice. Thanks, Brent Fulton Plumper, Thomas and Vera E. Troeger. 2007. "Efficient Estimation of Time-Invariant and Rarely Changing Variables in Finite Sample Panel Analyses with Unit Fixed Effects." Political Analysis 15:124-139. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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