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RE: st: AW: how to get slopes by clusters in a linear regression


From   DE SOUZA Eric <eric.desouza@coleurope.eu>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: AW: how to get slopes by clusters in a linear regression
Date   Tue, 25 Aug 2009 17:59:47 +0200

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: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of László Sándor
Sent: 25 August 2009 17:48
To: statalist@hsphsun2.harvard.edu
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<martin.weiss1@gmx.de> wrote:
>
> <>
>
>
> ******
> h statsby
> ******
>
>
> HTH
> Martin
>
>
> -----Ursprüngliche Nachricht-----
> Von: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von László 
> Sándor
> Gesendet: Dienstag, 25. August 2009 17:20
> An: statalist@hsphsun2.harvard.edu
> 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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