How is your treatment dummy defined?
If it is a categorical variable: 1, 2 ,3, etc, define a set of dummies by -tab(var), gen(var)
Example:
. webuse grunfeld
. tab(company), gen(company)
. reg invest mvalue kstock company1-company9
.......
------------------------------------------------------------------------------
invest | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mvalue | .1101238 .0118567 9.29 0.000 .0867345 .1335131
kstock | .3100653 .0173545 17.87 0.000 .2758308 .3442999
company1 | -63.72884 50.33023 -1.27 0.207 -163.0134 35.55572
company2 | 108.4737 26.95322 4.02 0.000 55.30405 161.6433
company3 | -229.004 26.51076 -8.64 0.000 -281.3008 -176.7072
company4 | -21.24145 18.04916 -1.18 0.241 -56.84635 14.36346
company5 | -108.049 18.43201 -5.86 0.000 -144.4091 -71.68883
company6 | -16.59345 17.12189 -0.97 0.334 -50.36917 17.18227
company7 | -59.98563 17.44425 -3.44 0.001 -94.39725 -25.57401
company8 | -50.97781 17.9877 -2.83 0.005 -86.46148 -15.49414
company9 | -80.65443 17.37635 -4.64 0.000 -114.9321 -46.37675
_cons | -6.567843 11.82689 -0.56 0.579 -29.89831 16.76262
------------------------------------------------------------------------------
Eric
Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of László Sándor
Sent: 25 August 2009 17:48
To: [email protected]
Subject: Re: st: AW: how to get slopes by clusters in a linear regression
Thank you, Martin!
I don't see how this could be used to estimate the model in a single command -- statsby still seem to break down the regression by clusters, without the intercluster restrictions on the controls/covariates.
However, this led me to try to apply the Frisch-Waugh-Lowell theorem:
I estimate the univariate regression of outcome on treatment by each cluster, I must only use the residuals for both after regressing them on the set of controls.
If there is no other way, this seems to be doable.
Thanks again!
Laszlo
On Tue, Aug 25, 2009 at 11:23 AM, Martin Weiss<[email protected]> wrote:
>
> <>
>
>
> ******
> h statsby
> ******
>
>
> HTH
> Martin
>
>
> -----Ursprüngliche Nachricht-----
> Von: [email protected]
> [mailto:[email protected]] Im Auftrag von László
> Sándor
> Gesendet: Dienstag, 25. August 2009 17:20
> An: [email protected]
> Betreff: st: how to get slopes by clusters in a linear regression
>
> Dear Fellow Statalisters,
>
> I want to extend a fixed-effects-type model to allow for different
> coefficients on a variable (actually a treatment dummy) by each
> cluster I have. The richness of my data would allow for that. However,
> I did not find a way to do it in Stata that would report (and collect)
> the coefficients themselves. -xtmixed- doesn't seem to do so. I would
> like to restrict the coefficients on controls to be equal across
> clusters, so estimation by cluster is not a solution either.
>
> If there were a way that could collect the slopes to a single new
> variable (with the same value for observations in the same cluster,
> naturally), that would be the best. It would be great if I did not
> need to introduce all the 1438 cluster-indicator variables and
> interactions myself, and collect the coefficients.
>
> Thank you for any guidance in advance!
>
> Laszlo
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