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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

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

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

Date |
Fri, 7 Nov 2008 18:25:49 -0000 |

Austin, Another rationale for marking singletons as not in the estimation sample is that it follows the treatment of perfectly predicted observations in -logit- and -probit-; when this happens the observations get dropped from the estimation. What worries me slightly, though, is whether postestimation tests like -hausman- or others will work properly when the two estimation samples appear different even though they are originally the same. I think they will, but maybe I am missing something. --Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Austin Nichols > Sent: 07 November 2008 13:07 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: e(sample) not working after XTIVREG2 > > Mark-- > I think the singletons should be marked as `touse'=0 as this kind of > thing is just too odd: > > webuse grunfeld, clear > keep if t==1 | company==1 > xtreg mvalue invest, fe > reg mvalue invest if company==1 > > where the only thing the extra 9 singleton obs are used for is the > calculation of the "constant" > ...but others may disagree. > > I suppose the resolution of this question is related to whether you > believe the individual-specific means are estimated consistently (see > also -fese- on SSC) but it seems to me that since -xtivreg2- does not > even report a constant, you can take the stand that singletons are not > in the estimation sample. > > It certainly seems odd to me to report a coef identified by 20 obs on > one company and a "constant" (mean FE) identified by 29 obs, and to > have the same df for tests on each, but I suppose there can be > situations where that is the behavior you want. > > On Fri, Nov 7, 2008 at 7:27 AM, Schaffer, Mark E > <M.E.Schaffer@hw.ac.uk> wrote: > > 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 > * > * 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/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * 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/

**References**:**st: e(sample) not working after XTIVREG2***From:*"Erasmo Giambona" <e.giambona@gmail.com>

**st: RE: e(sample) not working after XTIVREG2***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: RE: e(sample) not working after XTIVREG2***From:*"Austin Nichols" <austinnichols@gmail.com>

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