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From |
"Andrea Morescalchi" <morescalchi@ec.unipi.it> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Fixed Effects GLS |

Date |
Tue, 12 Apr 2011 14:27:19 +0200 |

Thanks Andrea On Tue, 12 Apr 2011 11:28:47 +0100 "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> wrote:

Andrea,-----Original Message-----From: owner-statalist@hsphsun2.harvard.edu[mailto:owner-statalist@hsphsun2.harvard.edu] On BehalfOfAndrea MorescalchiSent: Tuesday, April 12, 2011 9:57 AM To: statalist@hsphsun2.harvard.edu Subject: Re: st: Fixed Effects GLS Dear Ada and Maysa,I was trying too to estimate the FEGLS as presented inWooldridge (2002), but with only one error component.Anyway, I cannot understand properly the first line ofAda's response: "Fixed Effects model is a kind of GLSmodel. Use the basic FE commands and you will be fine."I red carefully the Chapter 10 in Wooldridge, but Icannotsee among the - xtreg, FE - options available which isthat for doing FEGLS. In particular, the optionsavailablefor vce are: conventional, robust, cluster, bootstrap,orjackknife.FEGLS implies a particular structure for the (T-1)*(T-1)covariance matrix for the errors, i.e. the matrix isestimated after a standard FE in the first step wherethismatrix is an identity matrix multiplicated for theT-constant variance parameter.Among FE Stata options the most proper to do FEGLS wouldseem: "vce(conventional), the default, uses theconventionally derived variance estimator forgeneralizedleast squares regression". This line is a bit strange tome since it seems to imply that the standard FE Stataregression is actually a FEGLS!It is indeed, and not just in Stata. The FE estimatoris, bydefinition, a GLS estimator.I am sure this is discussed in Jeff Wooldridge's booksomewhere (there'sa 2010 edition out, by the way), but I don't have ithandy and can'tdirect you to the right chapter/page. Another place youmight look isArellano's 2003 book, "Panel Data Econometrics". Inchapter 2 (I think)he shows that the FE estimator is the GLS estimatorobtained afterapplying the first-differencing transformation. --MarkI computed the FE and theFEGLS separately in Matlab and it turns out that the"conventional" Stata FE is identical to that with errorv-c matrix equal to an identity matrix (multiplicatedforsigma_u). But which is the option which tells Stata toestimate the v-c matrix in the first step?Thanks in advance Andrea On Tue, 12 Apr 2011 00:09:11 +0000 "Ada Ma" <heu034@googlemail.com> wrote:>Fixed Effects model is a kind of GLS model. Use thebasic>FE commands and you will be fine.>> There are user written commands for two way FEs but I>can't remember the commands' names, sorry! There aretwo>of them and they r both featured in the Stata Journal,>one of the authors for one command is Upward. HTH.>>> Sent using BlackBerry(r)>> -----Original Message----->From: May Ster <mayfrank@gmail.com> > Sender: owner-statalist@hsphsun2.harvard.edu> Date: Mon, 11 Apr 2011 23:10:06> To: <statalist@hsphsun2.harvard.edu>> Reply-To: statalist@hsphsun2.harvard.eduSubject: st:>Fixed Effects GLS>> Dear Statalist,>> I tried reading Woolridge (2002), Chapter 10 after he>mentioned> choosing between Random effects model and Fixedeffects>model, he does> mentioned 'Fixed Effects GLS".>> I'm not sure how does this apply to STATA command if i>want to use> 'Fixed Effects GLS".>> If my model is a two-way fixed effects model,Basically,>is the 'Fixed> Effects GLS" can be written like this (i've checkedfor>serial> correlation in error terms) ;>> xi: xtgls var1 var2 var3 i.year , panel(hetero)>corr(psar1)>>> Please help.>> Thank you very much in advance>> Maysa> * > * 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/-- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * 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: Fixed Effects GLS***From:*May Ster <mayfrank@gmail.com>

**References**:**st: Fixed Effects GLS***From:*May Ster <mayfrank@gmail.com>

**Re: st: Fixed Effects GLS***From:*"Ada Ma" <heu034@googlemail.com>

**Re: st: Fixed Effects GLS***From:*"Andrea Morescalchi" <morescalchi@ec.unipi.it>

**RE: st: Fixed Effects GLS***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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