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From |
László Sándor <sandorl@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: AW: how to get slopes by clusters in a linear regression |

Date |
Tue, 25 Aug 2009 12:13:20 -0400 |

Thanks, Eric, the treatment was a dummy, so I don't need to tabulate that -- but I would need to tabulate my cluster id, to have interactions if I want to put all that into one regression. However, that would mean thousands of new variables, not very elegant. I think I'll stick to 'regression of residuals on residuals' as mentioned above, if nothing else comes up. Thanks again, Laszlo On Tue, Aug 25, 2009 at 11:59 AM, DE SOUZA Eric<eric.desouza@coleurope.eu> wrote: > 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/ > * * 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**:**Re: st: AW: how to get slopes by clusters in a linear regression***From:*László Sándor <sandorl@gmail.com>

**RE: st: AW: how to get slopes by clusters in a linear regression***From:*DE SOUZA Eric <eric.desouza@coleurope.eu>

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