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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 > * > * 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/ > > > * > * 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/ > * * 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/ * * 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/

**Follow-Ups**:**Re: st: AW: how to get slopes by clusters in a linear regression***From:*László Sándor <sandorl@gmail.com>

**References**:**Re: st: AW: how to get slopes by clusters in a linear regression***From:*László Sándor <sandorl@gmail.com>

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