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From |
"Ikuho Kochi" <ikuho.kochi@uacj.mx> |

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

Subject |
st: RE: RE: RE: RE: xtivreg2 |

Date |
Wed, 4 Jul 2012 16:01:57 +0000 |

Mark, Thank you so much for your quick and thoughtful answer. Your answer helped me a lot! ikuho ________________________________________ From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] on behalf of Schaffer, Mark E [M.E.Schaffer@hw.ac.uk] Sent: Wednesday, July 04, 2012 12:57 AM To: statalist@hsphsun2.harvard.edu Subject: st: RE: RE: RE: xtivreg2 Ikuho, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Ikuho Kochi > Sent: 03 July 2012 17:35 > To: statalist@hsphsun2.harvard.edu > Subject: st: RE: RE: xtivreg2 > > Mark, > > Thank you very much for your thoughtful answer for my > question. It makes sense to me, but your answer brought > another question to me. > > In the same logic, if I understand correctly, the first > differences model also should not include constant term as > all constant values will be canceled when differenced over time. > In the stata manual, the formulation of "xtivreg, fd" seems > to drop the constant term, but when I run the model with > "xtivreg, fd" on STATA, I get estimated results with the > constant term and this command does not allow me to drop > constant term as an option. "xtivreg2, fd" seems to function > in the same way (estimate the constant term as default), and > I wonder why it is programmed that way. Because in the FD model, the constant term is an estimate of the trend. FD with nocons estimates the same model as FE. --Mark > I appreciate if you could help me to clarify my confusion. > > Ikuho > > ________________________________________ > From: owner-statalist@hsphsun2.harvard.edu > [owner-statalist@hsphsun2.harvard.edu] on behalf of Schaffer, > Mark E [M.E.Schaffer@hw.ac.uk] > Sent: Monday, July 02, 2012 5:37 PM > To: statalist@hsphsun2.harvard.edu > Subject: st: RE: xtivreg2 > > Ikuho, > > > -----Original Message----- > > From: owner-statalist@hsphsun2.harvard.edu > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Ikuho Kochi > > Sent: 02 July 2012 21:58 > > To: statalist@hsphsun2.harvard.edu > > Subject: st: xtivreg2 > > > > Dear fellow econometricians/statisticians > > > > I have a question regarding the "xtivreg2" command and would > > appreciate very much if somebody can help me to clarify some issues. > > > > Since I have to estimate HAC fixed models, I am using the > > xtivreg2 command. > > However, the xtivreg2 command does not estimate a constant > term in the > > fixed effect model (as described in the command > description), and I am > > wondering why it is programmed in this way. My > understanding is that > > the fixed effect model usually includes a constant term > > Actually, that's not the case. Strictly speaking, a fixed > effects model cannot provide an estimate of the constant > term. The reason is that a "pure" fixed effects model uses > *only* within variation to obtain estimates of the > coefficients. It can't provide estimates of coefficients on > anything that does not vary within panels, and that includes > the constant term. > > > (when I run the same model with > > xtivreg command, the constant term appears, so it is not the data > > problem), > > This is because official -xtivreg-, and for that matter > official -xtreg-, use cross-sectional variation to obtain > estimates of the constant term. Rather than go into the gory > details, I'll just say "it's in the manual". Which it is. > > Personally, I always found it odd that these commands will > report an estimated constant term that relies on > cross-sectional variation even when the -fe- option is > specified. This is non-standard in econometrics (my home > territory), but maybe it's standard in other areas - I don't > know. But I'm the author of -xtivreg2-, and I programmed it > to behave more in accord with the conventions in my own field of work. > > HTH, > Mark > > > or am I missing something? I wonder if the user of this command is > > expected to include an extra variable with constant values in the > > fixed effect model so that the constant term will be estimated in > > fixed model estimation? > > > > I appreciate for your time and input... > > > > Ikuho Kochi > > * > > * 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 the Sunday Times Scottish > University of the Year 2011-2012 > > 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 the Sunday Times Scottish University of the Year 2011-2012 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/

**References**:**st: xtivreg2***From:*"Ikuho Kochi" <ikuho.kochi@uacj.mx>

**st: RE: xtivreg2***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**st: RE: RE: xtivreg2***From:*"Ikuho Kochi" <ikuho.kochi@uacj.mx>

**st: RE: RE: RE: xtivreg2***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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