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

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Fixed Effects GLS |

Date |
Wed, 13 Apr 2011 23:09:27 +0100 |

Dear Adda and Mark, As the FE is the GLS , i would like to know whether -xtgls - allows the assumption in which there might be arbitary correlations between explantory varialbles and individual effect. I ask this because, under the FE model, using-xtreg, fe- the time invariant variables have to be omitted. Thus, if -xtgls- allows arbitary correlations between explanatory variables and individual effect, it is more informative. Please help. maysa On Tue, Apr 12, 2011 at 7:58 PM, May Ster <mayfrank@gmail.com> wrote: > 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/

**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>

**Re: st: Fixed Effects GLS***From:*May Ster <mayfrank@gmail.com>

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