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st: RE: e(sample) not working after XTIVREG2


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: e(sample) not working after XTIVREG2
Date   Fri, 7 Nov 2008 12:27:57 -0000

Erasmo,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Erasmo Giambona
> Sent: 07 November 2008 11:23
> To: statalist
> Subject: st: e(sample) not working after XTIVREG2
> 
> Dear Prof. Schaffer and Statalisters,
> 
> For some reasons, e(sample) does not seem to work after XTIVREG2. In
> particular, if I run XTIVREG2 some observations are not used because
> they are singleton (likely due to the fact that some of my RHS
> variables are lagged 1 period relative to the dependent variable).
> However, If I try to calculate summary statistics with the e(sample)
> option (i.e., sum ...... if e(sample)), the singleton observations are
> now used again. I contacted STATA Support about it. They cannot
> explain why this happens and suggests that I contact you.

This is a good question.  -xtivreg2- works this way mostly because
that's how Stata's official FE estimators work.  If you use official
-xtivreg- or -xtreg,fe- and you have singleton groups, they aren't
explicitly dropped from the sample and e(sample) will include them.

Probably -xtivreg2- should either (a) drop the singletons from the
estimation sample, or (b) add an option that allows you to recover the
singletons.  But I am not sure what is best; (a) is a significant
variation from official Stata and should not be adopted lightly.

If anyone on the list has views on this, I'd be interest to hear them!

--Mark

> 
> I would appreciate if you or any Statalisters could suggest how I
> could fix this problem.
> 
> Best regards,
> 
> Erasmo
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