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Re: st: RE: e(sample) after xtivreg2


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: e(sample) after xtivreg2
Date   Tue, 12 Apr 2011 09:48:36 -0400

See also e.g. http://www.stata.com/statalist/archive/2008-11/msg00260.html

Mark:
Are the singletons used in calculating SEs?
I.e. is the variation around the group mean (=zero) in a singleton
averaged together with other groups to estimate residual variance?
It is the case that if you estimate a first difference model in a
bunch of data where the first differences are often zero (suppose the
X variables change at most once in each panel but there are 20 time
periods) that the estimated coefficients will be the same as if you
had restricted to those obs where the difference is nonzero, but the
standard errors may differ substantially.  The difference may matter a
lot, in terms of radically different inferences drawn, but which set
of estimates you want depends a bit on your philosophical outlook
about the residuals.

On Tue, Apr 12, 2011 at 9:26 AM, Chris Parker
<cparker.phd2007@london.edu> wrote:
> Mark,
>
> Thanks for the clarification. Yes, I agree that singletons cannot be
> used because the FE wipes them out. I guess I'm just a little confused
> by xtivreg2 including singletons in e(sample) when they are not used
> in the regression itself as evidenced by the decrease in number of obs
> in the output.
>
> Chris
>
> On Tue, Apr 12, 2011 at 2:06 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
>> Chris,
>>
>> To answer your specific question below:
>>
>>> Can someone explain what is going on here? Is xtivreg2 actually using
>>> the 172 observations or not?
>>
>> -xtivreg2- includes the 172 singletons in e(sample).  But of course the
>> FE (or FD) transformation effectively wipes these out, because there's
>> no within-group variation when there's only one observation in the
>> group.  -xtivreg2- warns about this.
>>
>> -xtreg- also does not - cannot! - use singletons to estimate the slope
>> coefficients with the FE estimator.  However, -xtreg- reports a constant
>> term, and if I'm not mistaken, it *does* use the singletons for
>> estimating that.
>>
>> I hope this clarifies things.
>>
>> Cheers,
>> Mark
>>

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