Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Re: Estimating random effects that vary over time and cross-sections with Panel Data


From   "Twinemanzi Tumubweinee" <tkt011000@utdallas.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: Estimating random effects that vary over time and cross-sections with Panel Data
Date   Sun, 12 Apr 2009 19:16:14 -0500

specification

	y_[it] = x_[it]*a_[it]+ w_[it]*b_[it]+ e_[it]

	where i=cross sectional units (Banks) and t=time(Quarter). And
x_[it] are the co-variates and the error term e_[it] is assumed
	to follow a Gaussian distribution. I have 45 time periods, 21
cross-sectional units and about 669 observations since this is an 
	unbalanced panel.


	My first question: Is it correct, that in using -gllamm- to estimate
the above model I should do the following:

	Step 1-Define an equation "slope" for co-variates that vary over
cross-sections (banks) and time (quarters) 

	Step 2-Then define another equation "slope2" for the co-variates
that vary only over time
	
	eq slope: x1 x2 x3

	eq slope2: x4 x5

	gllamm y x1 x2 x3 x4 x5, i(Quarter Bank) nrf(1,1) nip(7,7) adapt
eqs(slope slope2) robust cluster(Bank) trace dots

	On doing this however I fail to get any kind of convergence for the
maximum likelihood. Is there any suggestion on how I should go about this?

	The second question: if -gllamm- is not appropriate for the above
model, is there a STATA command/ routine or some kind of work around that 
	would enable me estimate random coefficients that vary over time and
cross sections for unbalanced Panel data?  

	Many thanks,


	Twinemanzi Tumubweinee (Twine)
	PhD Student
	School of Economics, Political and Policy Sciences
	University of Texas at Dallas
	Tel: 972-883-4913
	tkt011000@utdallas.edu

	

*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index