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From |
Nick Cox <njcoxstata@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Tue, 12 Apr 2011 15:38:58 +0100 |

Good advice. Two very small comments on g byte s=e(sample) egen c=sum(s), by(company) -egen, sum()- still works but is undocumented. In the great renaming of Stata 9, it was renamed -total()-. (Some people got confused with the function -sum()- which is quite different.) Also, -total()- will take an expression, so the variable s is not needed for this. egen c = total(e(sample)), by(company) works fine. Nick On Tue, Apr 12, 2011 at 3:26 PM, Austin Nichols <austinnichols@gmail.com> wrote: > 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. * * 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/

**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>

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

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