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Re: st: time-invariant regressors in xtdpdsys
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From |
"David M. Drukker" <[email protected]> |
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To |
Stata List <[email protected]> |
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Subject |
Re: st: time-invariant regressors in xtdpdsys |
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Date |
Wed, 6 Aug 2008 14:14:49 -0500 (CDT) |
Hewan Belay <[email protected]> asked how to prevent -xtdpd- to from
dropping time-invariant regressors.
The answer is the -hascons- option.
Hewan asked this question in the context of how to get -xtdpd- to reproduce
the results of -xtdpdsys-.
Below my signature is a version of Hewan's example that answers these
questions.
--David
<[email protected]>
. webuse abdata, clear
. by id, s: egen avg_emp = mean(emp)
. /* No. 1 */ xtdpdsys n w k avg
note: avg_emp dropped from div() because of collinearity
System dynamic panel-data estimation Number of obs = 891
Group variable: id Number of groups = 140
Time variable: year
Obs per group: min = 6
avg = 6.364286
max = 8
Number of instruments = 38 Wald chi2(4) = 4550.53
Prob > chi2 = 0.0000
One-step results
------------------------------------------------------------------------------
n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
n |
L1. | .5514304 .043601 12.65 0.000 .465974 .6368869
w | -.6130319 .0513926 -11.93 0.000 -.7137595 -.5123042
k | .3334923 .0239851 13.90 0.000 .2864823 .3805022
avg_emp | -.0032794 .0042283 -0.78 0.438 -.0115668 .0050079
_cons | 2.541278 .1785823 14.23 0.000 2.191263 2.891293
------------------------------------------------------------------------------
Instruments for differenced equation
GMM-type: L(2/.).n
Standard: D.w D.k
Instruments for level equation
GMM-type: LD.n
Standard: _cons
. /* No. 2 */ xtdpd L(0/1).n w k avg, div(w k) dgmmiv(n) lgmmiv(n) hascons
Dynamic panel-data estimation Number of obs = 891
Group variable: id Number of groups = 140
Time variable: year
Obs per group: min = 6
avg = 6.364286
max = 8
Number of instruments = 38 Wald chi2(4) = 4550.53
Prob > chi2 = 0.0000
One-step results
------------------------------------------------------------------------------
n | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
n |
L1. | .5514304 .043601 12.65 0.000 .465974 .6368869
w | -.6130319 .0513926 -11.93 0.000 -.7137595 -.5123042
k | .3334923 .0239851 13.90 0.000 .2864823 .3805022
avg_emp | -.0032794 .0042283 -0.78 0.438 -.0115668 .0050079
_cons | 2.541278 .1785823 14.23 0.000 2.191263 2.891293
------------------------------------------------------------------------------
Instruments for differenced equation
GMM-type: L(2/.).n
Standard: D.w D.k
Instruments for level equation
GMM-type: LD.n
Standard: _cons
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