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Re: st: huge amount of j-th related individual dummies


From   massimiliano stacchini <mastacchini@yahoo.it>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: huge amount of j-th related individual dummies
Date   Tue, 20 Dec 2011 08:43:43 +0000 (GMT)

Thanks. However the problem is not solved.
The precondition for realizing your strategy is to impose the 'panel' structure to the database by mean of  the command ' tsset borrower time' 
(necessary fo running the command  xtreg ..., fe )

However, when I run the command ' tsset borrower time' I get the error message: 'repeated time values within panel'. 
The error is driven by the presence of multiple lenders for each borrower in the same period (different 'i' for each 'j' in time 't')
 

Can you deal with that ? thanks




----- Messaggio originale -----
Da: John Antonakis <John.Antonakis@unil.ch>
A: statalist@hsphsun2.harvard.edu
Cc: 
Inviato: Lunedì 19 Dicembre 2011 19:06
Oggetto: Re: st: huge amount of j-th related individual dummies

Hi:

You can easily solve your problem of modeling the fixed-effects by using procedure not known to many--that is, including the cluster level mean of the panel-varying variable gives the same estimates as using dummy variables. For a technical explanation see:

Mundlak, Y. (1978). Pooling of Time-Series and Cross-Section Data. Econometrica, 46(1), 69-85.

For a basic intuitive explanation see:

Antonakis, J., Bendahan, S., Jacquart, P., & Lalive, R. (2010). On making causal claims: A review and recommendations. The Leadership Quarterly, 21(6), 1086-1120.

To see specific examples in action with data, see:

Rabe-Hesketh, S., & Skrondal, A. (2008). Multilevel and Longitudinal Modeling Using Stata. College Station, TX: Stata Press.

Hope this helps.

John.

__________________________________________

Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis
Associate Editor
The Leadership Quarterly
__________________________________________


On 19.12.2011 16:46, massimiliano stacchini wrote:
> Dear users,
> I need to
> run in STATA the following model   y(i , j , t)  = X(i , j , t ) + D(i) + F(j) + H(t)D(i) F(j), H(t)  represent a set of fixed effects dummies respectively for the i-th lender , the j-th borrower and the it-th period.
> The problem is that I have 60,000
> borrowers (60,000 j-th related dummies).
> 
> The command:
> 
> xi: regress rate  i.borrower ....i.time i.lender
> 
> does not support a so
> huge amount of related-to-borrowers –dummies.
> 
> Could you suggest me how can I deal with this problem ?
> thanks 
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