Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
RE: st: RE: xtscc and small samples (equal size T and N)
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
RE: st: RE: xtscc and small samples (equal size T and N)
Date
Tue, 20 Sep 2011 15:55:27 +0100
Christina,
-xtivreg2- will do this. Or, since you have a small number of T and N fixed effects, you could add the FEs by hand.
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> christina sakali
> Sent: 20 September 2011 15:48
> To: [email protected]
> Subject: Re: st: RE: xtscc and small samples (equal size T and N)
>
> Mark,
>
> thank you, this is clear now.
>
> In the older versions of Stata, het-robust SE were produced
> with either - xtreg ..., fe robust- OR -xtreg ..., fe
> vce(robust)- which both gived identical results.
>
> However, as far as I know these commands have changed in the
> newer versions. Is it possible to obtain the standard
> het-robust SE in the newer versions and how?
>
>
>
> On 20 September 2011 17:15, Schaffer, Mark E
> <[email protected]> wrote:
> > Christina,
> >
> > The factor in front of bias term in eqn 5 is 1/(T-1). As T
> gets bigger, this term gets smaller. For T=11, the bias term
> is being multiplied by 1/10, i.e., by 0.1.
> >
> > -xtivreg2-, like -ivreg2-, can estimate straight OLS as
> well as IV. The underlying logic is GMM. OLS, IV, FE, RE,
> etc., are all GMM estimators.
> >
> > --Mark
> >
> >> -----Original Message-----
> >> From: [email protected]
> >> [mailto:[email protected]] On Behalf Of
> christina
> >> sakali
> >> Sent: 20 September 2011 15:03
> >> To: [email protected]
> >> Subject: Re: st: RE: xtscc and small samples (equal size T and N)
> >>
> >> Mark, this is very useful information.
> >>
> >> Can you please clarify what exactly you mean by "the bias is
> >> decreasing in T". To me this sounds like the bias is
> decreasing when
> >> T is decreasing, but then you say that T=11 may be large enough to
> >> justify using the standard het-robust VCV, so I am not sure I
> >> completely get what you mean.
> >>
> >> Also, xtivreg works with instrumental variables, will I be able to
> >> implement it with my data?
> >>
> >> On 20 September 2011 16:23, Schaffer, Mark E
> <[email protected]>
> >> wrote:
> >> > Christina,
> >> >
> >> > With respect to your last point, you might actually be OK here.
> >> >
> >> > Stock & Watson show that the standard
> >> Eicker-Huber-White-robust VCV is biased with small-N
> large-T panels.
> >> But if you check the paper (eqn 5), you'll see that the
> bias term has
> >> a 1/(T-1) in front of it. In other words, the bias is
> decreasing in
> >> T. In your case, T=11 may be enough for you to justify using the
> >> standard het-robust VCV.
> >> >
> >> > There is an as-yet undocumented option in -xtivreg2-, sw,
> >> that implements the Stock-Watson correction to the standard
> >> het-robust VCV. (It's still not documented because I haven't yet
> >> verified it against a published output or another
> >> package.) If the sw option gives you SEs that are similar to the
> >> standard het-robust SEs, you've got grounds to believe that T is
> >> indeed large enough to justify using the latter.
> >> >
> >> > HTH,
> >> > Mark
> >> >
> >> > NB: If anyone can point me to an example of Stock-Watson
> >> SEs that I can try to replicate, I'd be most grateful.
> >> >
> >> > References:
> >> >
> >> > Stock & Watson (2008),
> >> > http://www.princeton.edu/~mwatson/papers/ecta6489.pdf
> >> >
> >> >> -----Original Message-----
> >> >> From: [email protected]
> >> >> [mailto:[email protected]] On Behalf Of
> >> christina
> >> >> sakali
> >> >> Sent: 20 September 2011 13:17
> >> >> To: [email protected]
> >> >> Subject: Re: st: RE: xtscc and small samples (equal
> size T and N)
> >> >>
> >> >> Dear Gordon, thanks for the response.
> >> >>
> >> >> From your as well as Mark's suggestions, I get the idea
> >> that perhaps
> >> >> the simple two way fixed effects model is the most
> >> appropriate choice
> >> >> for my data, although I do understand than none of the
> options is
> >> >> ideal with such a small panel sample.
> >> >>
> >> >> In other, previous papers with similar sample sizes and
> >> topic, I have
> >> >> seen that they usually either go for a simple one or
> two way fixed
> >> >> effects model or rely on simple robust SE such as White
> >> SE. However I
> >> >> am aware that Stock and Watson
> >> >> (2008) showed that these are inconsistent, so this
> option is also
> >> >> ruled out for my data..
> >> >>
> >> >> On 20 September 2011 13:29, Gordon Hughes
> >> <[email protected]> wrote:
> >> >> > You will probably get almost as many views about what
> >> constitutes
> >> >> > large T and/or large N as the number of people you
> consult. The
> >> >> > answer is very dependent upon the type of data which you are
> >> >> > analysing, because panel data comes in many different
> >> >> forms. However,
> >> >> > as Mark says, no one would believe that 11 gets close.
> >> >> >
> >> >> > For -xtscc- you are dealing with large T asymptotics, so
> >> >> the reference
> >> >> > point would be time series asymptotics. If you have
> >> annual data I
> >> >> > doubt whether anyone would rely on large T results for T
> >> >> much below 30
> >> >> > and some might be much stricter. The problem, of course,
> >> >> is that many
> >> >> > panel datasets don't meet that criterion, in which case
> >> you have to
> >> >> > start to think carefully about what you are trying to
> >> >> estimate. That
> >> >> > is the point which underlies Mark's original
> suggestion. Your
> >> >> > response indicates that you may be trying to get too much
> >> >> out of some rather noisy - or complex - data.
> >> >> >
> >> >> > Gordon Hughes
> >> >> > [email protected]
> >> >> >
> >> >> > =====================================
> >> >> >
> >> >> > Date: Tue, 20 Sep 2011 02:12:43 +0300
> >> >> > From: christina sakali <[email protected]>
> >> >> > Subject: Re: st: RE: xtscc and small samples (equal
> size T and
> >> >> > N)
> >> >> >
> >> >> > Dear Mark, thanks a lot for the advice and recommendations.
> >> >> >
> >> >> > I am a bit reluctant to go for just the simple 2-way
> >> fixed effects
> >> >> > model, since after implementing the necessary tests, I have
> >> >> found that
> >> >> > my residuals suffer from both heteroscedasticity and
> >> >> cross-sectional
> >> >> > dependence, so I am looking for an estimator to account
> >> for both of
> >> >> > these problems.
> >> >> >
> >> >> > Does the inclusion of time fixed effects correct for
> >> >> > heteroscedasticity and/or cross-sectional dependence and
> >> >> how exactly
> >> >> > is this achieved? (or can you suggest some reference where
> >> >> I can find
> >> >> > some more information on this issue).
> >> >> >
> >> >> > Can you also please clarify this for me: What is the
> >> >> minimum (more or
> >> >> > less) sample size required for the use of estimators
> >> that rely on
> >> >> > large T and N asymptotics?
> >> >> >
> >> >> > Thank you again.
> >> >> >
> >> >> > Christina
> >> >> >
> >> >> >
> >> >> > *
> >> >> > * 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/
> >>
> >
> >
> > --
> > 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/
>
--
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/