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From |
nicola.baldini2@unibo.it |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: Re: st: re: help with sureg |

Date |
Wed, 15 Oct 2008 18:30:00 +0200 |

By the way, Stata 10 lets take you advantage of -xtsur-. Just -findit- Nicola P.S. I'll NOT receive/read any email but the Digest. At 02.33 14/10/2008 -0400, "Thomas Jacobs" wrote: >Kit, > >Thanks very much for the explanation. That was helpful. You were >certainly correct on the coffee comment. I had already cribbed the >`eqn' logic from your Modern Econometrics text and run with manually >generated lags. Using the tsset will be much cleaner. Thanks again. > >Tom > >On Mon, Oct 13, 2008 at 4:15 PM, Kit Baum <baum@bc.edu> wrote: >> < > >> Thomas said: >> >> I am trying to use sureg on a dataset of approximately 50 firms with >> 900 trading days of observations: >> >> . xtset >> panel variable: CompanyNum (strongly balanced) >> time variable: TradeDateNum, 501 to 1402 >> delta: 1 unit >> >> I keep only the necessary variables: >> >> . keep TradeDateNum CompanyNum LnRt* >> >> and reshape from long to wide for the company specific variables: >> >> . reshape wide LnRtFiveYrMid LnRtStock, i(TradeDateNum) j(CompanyNum) >> (note: j = 1 2 3 4 5 6 8 9 10 11 12 13 14 15 16 17 18 19 20 22 23 24 >> 25 26 27 28 29 30 32 33 >>> 34 35 36 37 38 39 40 41 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57) >> >> Data long -> wide >> ----------------------------------------------------------------------------- >> Number of obs. 47806 -> 902 >> Number of variables 10 -> 113 >> j variable (53 values) CompanyNum -> (dropped) >> xij variables: >> LnRtFiveYrMid -> LnRtFiveYrMid1 >> LnRtFiveYrMid2 ... LnRtFiveYrM >>> id57 >> LnRtStock -> LnRtStock1 LnRtStock2 >> ... LnRtStock57 >> ----------------------------------------------------------------------------- >> >> I then attempt to execute sureg on my current pooled OLS specification >> for just two firms: >> >> . sureg (LnRtFiveYrMid1 L(1/2).LnRtFiveYrMid1 L(0/4).LnRtCDX LnRtCMT >> LnRtTED L(0/2).LnRtStoc >>> k1) (LnRtFiveYrMid2 L(1/2).LnRtFiveYrMid2 L(0/4).LnRtCDX LnRtCMT LnRtTED >>> L(0/2).LnRtStock2 >>> ) >> variable CompanyNum not found >> >> and I get the error CompanyNum (the dropped variable after reshaping >> to wide) not found. So far, the only way it will run is if I exclude >> time series operators: >> >> . sureg (LnRtFiveYrMid1 LnRtCDX LnRtCMT LnRtTED LnRtStock1) >> (LnRtFiveYrMid2 LnRtCDX LnRtCMT >>> LnRtTED LnRtStock2) >> >> Seemingly unrelated regression >> ---------------------------------------------------------------------- >> Equation Obs Parms RMSE "R-sq" chi2 P >> ---------------------------------------------------------------------- >> LnRtFiveY~d1 887 4 .0453147 0.1464 152.27 0.0000 >> LnRtFiveY~d2 887 4 .0479444 0.0777 74.68 0.0000 >> ---------------------------------------------------------------------- >> >> ------------------------------------------------------------------------------ >> | Coef. Std. Err. z P>|z| [95% Conf. >> Interval] >> -------------+---------------------------------------------------------------- >> LnRtFiveY~d1 | >> LnRtCDX | .5369359 .054891 9.78 0.000 .4293515 >> .6445204 >> LnRtCMT | -.3181771 .0979303 -3.25 0.001 -.5101169 >> -.1262374 >> LnRtTED | -.0106727 .0188642 -0.57 0.572 -.0476459 >> .0263005 >> LnRtStock1 | .0629164 .1021791 0.62 0.538 -.1373509 >> .2631838 >> _cons | -.0006975 .0015239 -0.46 0.647 -.0036843 >> .0022893 >> -------------+---------------------------------------------------------------- >> LnRtFiveY~d2 | >> LnRtCDX | .362548 .0568002 6.38 0.000 .2512216 >> .4738745 >> LnRtCMT | -.3034092 .1032472 -2.94 0.003 -.5057699 >> -.1010485 >> LnRtTED | -.0484131 .019944 -2.43 0.015 -.0875027 >> -.0093235 >> LnRtStock2 | -.0617068 .0777801 -0.79 0.428 -.214153 >> .0907394 >> _cons | -.0000496 .0016117 -0.03 0.975 -.0032085 >> .0031093 >> ------------------------------------------------------------------------------ >> >> Does sureg prevent the use of time series operators? If so, am I best >> to manually generate all the lags before reshaping or after? Any >> other suggestions? Thanks. >> >> >> >> The problem is that -tsset- (or -xtset-) remembers how your original >> long-format data were defined, in terms of CompanyNum and TradeDateNum. >> -sureg- is happy to accept timeseries operators, as -help sureg- indicates. >> But you must after using -reshape- reestablish the -tsset-, which will now >> be just >> >> tsset TradeDateNum >> >> as what you have now is a pure timeseries dataset. Then you should be able >> to give the -sureg- command. >> >> As you have 57 equations to specify, I suggest you use a -local- and a >> -forvalues- loop over company numbers to build up the equation list. >> For instance, as a simplified example, >> >> local eqlist >> forv i = 1/57 { >> local eqlist "`eqlist' (LnRtFiveYrMid`i' LnRtCDX LnRtCMT LnRtTED >> LnRtStock`i')" >> } >> >> Just make sure you never use an equals sign in this local statement. You can >> then say >> >> sureg `eqlist' >> >> and go have a cup of coffee. * * 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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