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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 |
Wed, 26 Aug 2009 19:40:23 -0400 |

Yes, Martin, thanks for catching this. Since then, I have been successful with the statsby verion, this works as intended. Now the code runs through several dependent variables and does the regression cluster by cluster, which are identified by taxproid07 in my case, and also fits a kernel density graph to them. (Please let me omit code setting up the data. The code could be instructional without that too.) reg treat `controls' predict treat_fwl, resid foreach v of varlist d_fdeic midinc08 poor08 highinc08 d_eic_wage midwage08 { reg `v' `controls' predict `v'_fwl, resid statsby effect_on_`v'=_b[treat_fwl], by(taxproid07) saving(effect_on_`v', replace): reg `v'_fwl treat_fwl merge m:1 taxproid07 using effect_on_`v' kdensity effect_on_`v' graph save indiveffect_on_`v', replace graph export indiveffect_on_`v'.eps, replace drop _mer* } Best, Laszlo On Tue, Aug 25, 2009 at 3:33 PM, Martin Weiss <martin.weiss1@gmx.de> wrote: > > <> > > " sortby c: reg m2 t2" > > > > Probably -bysort-? > > > > HTH > Martin > > -----Ursprüngliche Nachricht----- > Von: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Austin Nichols > Gesendet: Dienstag, 25. August 2009 20:37 > An: statalist@hsphsun2.harvard.edu > Betreff: Re: st: AW: how to get slopes by clusters in a linear regression > > László Sándor <sandorl@gmail.com>: > Your code does not run as written, and the approach you outline does > not do what you want (unless I am misunderstanding your problem): > > 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_* > g good=. > forv i=1/4 { > replace good=_b[td_`i'] if c==`i' > } > g bad=. > qui reg mvalue kstock > predict m2, res > qui reg t kstock > predict t2, res > forv i=1/4 { > qui reg m2 t2 if c==`i' > replace bad=_b[t2] if c==`i' > } > tabdisp c, c(good bad) > > Again: 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>: > > Austin, > > thanks for the code. I meant the latter approach, or even simpler, as > > you don't need interactions if you will estimate it cluster by > > cluster. > > > > In your code (without collecting the coefficients): > > > > qui reg mvalue kstock > > predict m2, res > > qui reg t kstock > > predict t2, res > > sortby c: reg m2 t2 > > > > The last can be made more useful with statsby, as Martin suggested. > > > > Thanks, > > > > Laszlo > > > > > > On Tue, Aug 25, 2009 at 1:31 PM, Austin Nichols<austinnichols@gmail.com> > wrote: > >> 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 > > * > * 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:*Austin Nichols <austinnichols@gmail.com>

**References**:**st: 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:*László Sándor <sandorl@gmail.com>

**Re: st: AW: how to get slopes by clusters in a linear regression***From:*Austin Nichols <austinnichols@gmail.com>

**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:*Austin Nichols <austinnichols@gmail.com>

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