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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 10:26:15 -0400

So I answered my own question by experiment: the singletons are
excluded by both -xtreg- and -xtivreg2- for FE estimates of coefs, but
included for the constant term reported by -xtreg- and also affect the
F-test that all u_i are zero which seems questionable at best for most
applications.  So I would recommend Chris exclude the singletons with
an -if- qualifier e.g.

webuse grunfeld, clear
replace mval=. if (com>8)&(time!=10)
qui xtreg mval inv, fe
g byte s=e(sample)
egen c=sum(s), by(company)
xtreg mval inv if c>1, fe

On Tue, Apr 12, 2011 at 9:48 AM, Austin Nichols <austinnichols@gmail.com> wrote:
> Chris:
> 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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