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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 >>> > * * 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: RE: e(sample) after xtivreg2***From:*Chris Parker <cparker.phd2007@london.edu>

**Re: st: RE: e(sample) after xtivreg2***From:*Nick Cox <njcoxstata@gmail.com>

**References**:**st: e(sample) after xtivreg2***From:*Chris Parker <cparker.phd2007@london.edu>

**st: RE: e(sample) after xtivreg2***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: RE: e(sample) after xtivreg2***From:*Chris Parker <cparker.phd2007@london.edu>

**Re: st: RE: e(sample) after xtivreg2***From:*Austin Nichols <austinnichols@gmail.com>

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