Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: how to interprete my monte carlo simulation results for cce estimation?


From   zhiqiang zhang <nkzzq@yahoo.com.cn>
To   statalist@hsphsun2.harvard.edu
Subject   st: how to interprete my monte carlo simulation results for cce estimation?
Date   Fri, 29 Apr 2011 17:17:54 +0800 (CST)

Dear statalist:
    The following code is my program to probe the cce estimation property of a 
panel regression, I try to simulate it with common factor loading. The target 
beta is 1, My problems is that why the estimated beta is usually larger than 1, 
My problems are as follows:
 1. Is there any error in my code?  Especially for simulate a panel dataset in 
stata?
 2. How to change it ?
Thank you very much! 

global numsims 1000
global numobs 300 
program simcce
    version 11.2 
    tempname simfile
    postfile `simfile' b2 se2 t2 bias using simresults, replace
    quietly {
       forvalues i = 1/$numsims { 
         drop _all
         set obs $numobs
egen int id=seq(), from(1) to ($numobs)  block(20)
sort id
by id: gen int time=_n
xtset id time
gen ft=rnormal()    /* the factor loading */
gen a1=-0.5+int((2)*runiform()) /* the individual effect */
gen gama=0.5+int((2)*runiform())
gen ceta=0.5+int((2)*runiform())
gen epsilon=0.5+int((2)*runiform())
gen sigmax=0.5+int((2)*runiform())
gen residx=rnormal(0,sigmax)
gen x=gama*ft+ceta*ft+residx
gen u=epsilon*ft+rnormal()
gen y=x+a1+u
xtmg y x ,cce   /* the cce estimation */
         
         scalar b2 =_b[x]
         scalar se2 = _se[x]
         scalar t2 = (_b[x]-2)/_se[x]
         scalar bias=_b[x]-1
         post `simfile' (b2) (se2) (t2) (bias)
      }
    }
    postclose `simfile'
end
simcce

Best Regards 
Zhiqiang Zhang
Nankai University
nkzzq@yahoo.com.cn
zhiqiangzhangnk@gmail.com


*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index