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


From   Austin Nichols <austinnichols@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 13:31:09 -0400

László Sándor <sandorl@gmail.com>:
Using the FWL thm is the fastest way to go, probably, but I am not
clear on what you are actually doing.  Is it something like one of the
approaches below?  Or are you trying to get the individual-specific
coefs on the treatment dummy (harder, but can be done in Mata without
making any really big matrices)?

webuse grunfeld, clear
set seed 1
ren company c
keep if c<5
qui ta c, g(d_)
g byte t=uniform()>.5
forv i=1/4 {
 g byte td_`i'=d_`i'*t
 }
drop d_1
reg mvalue kstock d_* td_*
est sto reg1
egen double m1=mean(mvalue), by(c t)
g double mres=mvalue-m1
egen double k1=mean(kstock), by(c t)
g double kres=kstock-k1
areg mres kres, a(c)
est sto reg2
egen c2=group(t c)
areg mvalue kstock, a(c2)
est sto reg3
est table reg?

Or are you doing something like:

qui reg mvalue td_2 td_3 td_4 d_* kstock
predict m2, res
qui reg td_1 td_2 td_3 td_4 d_* kstock
predict t2, res
reg m2 t2

which still needs big matrices as the problem gets big?  Make sure you
are getting the right answer in a small subsample before you go too
far...

2009/8/25 László Sándor <sandorl@gmail.com>:
> 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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