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From |
May Ster <mayfrank@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Fixed Effects GLS |

Date |
Tue, 12 Apr 2011 19:58:15 +0100 |

Dear all, If i'm not wrong, the -xtgls- does only available for random effects. I guess i do get what you mean Andrea that you want to get an estimate of what you mentioned " the (T-1)*(T-1) covariance matrix of the error component is not an identity matrix (multiplicated for sigma) but it is estimated in a first stage" Then i guess... there might not be an option for FE-GLS as what you might want to do in STATA? Am i right here? Maysa, On Tue, Apr 12, 2011 at 1:27 PM, Andrea Morescalchi <morescalchi@ec.unipi.it> wrote: > Thank you vey much Mark. I will look into this interpretation of FE, which I > didn't know. > > But, regardless of the definition, I still do not understand how to tell > Stata to estimate what in the 10 Chapter of Wooldridge (2002) is called > FEGLS. Basically, I would like to estimate in Stata a FE where the > (T-1)*(T-1) covariance matrix of the error component is not an identity > matrix (multiplicated for sigma) but it is estimated in a first stage. > > 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 Behalf Of Andrea >>> Morescalchi >>> Sent: 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 in Wooldridge (2002), >>> but with only one error component. >>> >>> Anyway, I cannot understand properly the first line of Ada's response: >>> "Fixed Effects model is a kind of GLS model. Use the basic FE commands and >>> you will be fine." >>> I red carefully the Chapter 10 in Wooldridge, but I cannot see among the >>> - xtreg, FE - options available which is that for doing FEGLS. In >>> particular, the options available for vce are: conventional, robust, >>> cluster, bootstrap, or jackknife. >>> FEGLS implies a particular structure for the (T-1)*(T-1) covariance >>> matrix for the errors, i.e. the matrix is estimated after a standard FE in >>> the first step where this matrix is an identity matrix multiplicated for the >>> T-constant variance parameter. >>> Among FE Stata options the most proper to do FEGLS would seem: >>> "vce(conventional), the default, uses the conventionally derived variance >>> estimator for generalized least squares regression". This line is a bit >>> strange to me since it seems to imply that the standard FE Stata regression >>> is actually a FEGLS! >> >> It is indeed, and not just in Stata. The FE estimator is, by >> definition, a GLS estimator. >> >> I am sure this is discussed in Jeff Wooldridge's book somewhere (there's >> a 2010 edition out, by the way), but I don't have it handy and can't >> direct you to the right chapter/page. Another place you might look is >> Arellano's 2003 book, "Panel Data Econometrics". In chapter 2 (I think) >> he shows that the FE estimator is the GLS estimator obtained after >> applying the first-differencing transformation. >> >> --Mark >> >>> I computed the FE and the FEGLS separately in Matlab and it turns out >>> that the "conventional" Stata FE is identical to that with error v-c matrix >>> equal to an identity matrix (multiplicated for sigma_u). But which is the >>> option which tells Stata to estimate 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 the basic >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 are two >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 Fixed effects >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 checked for >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/ > * * 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>

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

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