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: panel data regression - number of observations


From   "Braunfels, Philipp (Stud. SBE / Alumni)" <P.Braunfels@student.maastrichtuniversity.nl>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: panel data regression - number of observations
Date   Fri, 22 Jun 2012 12:56:12 +0200

Dear all, 

I have a large panel dataset, covering 10 years of monthly data. One of my variables is stock return for which I have approximately 3000 companies. However, the return observations are not complete for all 3000 companies (some just have 2 or 5 years of data e.g.). In this respect I would have two questions:

1) if I run a panel-regression, does stata automatically exclude all companies for which the return data are not complete? (e.g. I regress years 1990-2000 and for 500 companies the data from 1990-1993 are missing. Are these companies completely excluded from the analysis?) If stata does not exclude observations (companies) with an insufficient number of values (returns over time) how can I account for this (maybe using sth. <xtreg y x1 x2 x3 if time==124, fe> - where 124 are monthly observations for the 10 years I cover?

2) The hausman test predicts that I should use FE. The output gives me three values for R-square (between, within, overall). But when I use the command <estimates table output, stats(r2)> I am given a different R-square than those reported in the <xtreg,fe> output. So where does the <estimates table output, stats(r2)> come from (I also run an <areg> regression and this R-square differs as well!)

I am very thankful for any time and effort for answering my questions.
Kind regards!
*
*   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