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From |
Luca Fumarco <luca.fumarco@lnu.se> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
st: from reg to xtreg, an interaction term change also in its sign, why? |

Date |
Wed, 18 Apr 2012 19:14:12 +0200 |

Dear Statalister, I have a problem with a couple of regressions I am running. 1) I run this model: reg callback dsec m50 m50_sec (with dsec and m50 dummy variables) and I get Source SS df MS Number of obs = 272 F( 3, 268) = 2.59 Model 1.89291395 3 .630971316 Prob > F = 0.0529 Residual 65.1659096 268 .243156379 R-squared = 0.0282 Adj R-squared = 0.0173 Total 67.0588235 271 .247449533 Root MSE = .49311 callback Coef. Std. Err. t P>t [95% Conf. Interval] 1.dsec -.115942 .0839524 -1.38 0.168 -.2812322 .0493482 m50 -.143846 .0845766 -1.70 0.090 -.3103651 .0226731 m50_sec .0263898 .1196094 0.22 0.826 -.2091038 .2618834 _cons .6811594 .0593633 11.47 0.000 .5642816 .7980372 then I run the same regression but with xtreg, fe xtreg callback dsec m50 m50_sec, fe and I get . xtreg callback i.dsec m50 i.dsec#i.m50 if many_appl>=0, fe note: m50 omitted because of collinearity note: 1.dsec#1.m50 omitted because of collinearity Fixed-effects (within) regression Number of obs = 272 Group variable: sit_id Number of groups = 136 R-sq: within = 0.1046 Obs per group: min = 2 between = 0.0193 avg = 2.0 overall = 0.0145 max = 2 F(2,134) = 7.83 corr(u_i, Xb) = 0.0158 Prob > F = 0.0006 callback Coef. Std. Err. t P>t [95% Conf. Interval] 1.dsec -.115942 .0368203 -3.15 0.002 -.1887663 -.0431178 m50 0 (omitted) dsec#m50 0 1 -.0263898 .052459 -0.50 0.616 -.1301445 .0773649 1 1 0 (omitted) _cons .623295 .0318091 19.59 0.000 .5603821 .6862078 sigma_u .47076084 sigma_e .21627055 rho .82572684 (fraction of variance due to u_i) F test that all u_i=0: F(135, 134) = 9.33 Prob > F = 0.0000 why does the interaction term change sign? 2) Moreover, how can I interpret the coefficients of the interaction term in xtreg (the second model)? 0 1 is simply the coefficient of m50 1 1 is the proper coefficient of the interaction term (since the values of both terms equal 1), but it is now omitted As far as I have understood, in this case, I do not really have an interaction term Thank you very much in any case! Cordially Luca Fumarco * * 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/

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