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RE: st: Panel Regression with missing x for one entity


From   "Whelan, Paul" <Paul.Whelan@bankofengland.co.uk>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Panel Regression with missing x for one entity
Date   Wed, 15 Aug 2012 15:07:59 +0100

Well, 

The is no information for this particular conditioning variable contributing
to the forecast for this country but it did contribute to the fit for the other
countries. So, a forecaster should still be able to make a projection. It's like

y_1 = c_1 + beta_11 X_1 + beta_12 X_2 + eps_1
y_2 = c_2 + beta_12 X_1 + + eps_2


stata doesn't compute E[y_2(t+h) | X_1] if [c_2 , beta_12 ] is estimated from the panel


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
Sent: Wednesday, August 15, 2012 11:10 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: Panel Regression with missing x for one entity

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It's often difficult to know what is obvious, but let's spell out that
if any values were missing for a particular country, then no data for
that country contributed to the model fit.

Nick

On Wed, Aug 15, 2012 at 10:55 AM, Whelan, Paul
<Paul.Whelan@bankofengland.co.uk> wrote:
> Sure - I guess that is obvious.
>
> Thanks,
> Paul
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten Buis
> Sent: Tuesday, August 14, 2012 7:23 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Panel Regression with missing x for one entity
>
> On Tue, Aug 14, 2012 at 7:43 PM, Whelan, Paul wrote:
>>> I'm running a panel regression with a cross-section of countries:
>>
>> y_it = c_it + beta_1 x_1 + ... + beta_n x_n + eps_it
>>
>> For one of my countries , a particular x is completely missing.
>> The estimation works fine but I cannot produce predictions for this particular entity.
>
> You (through Stata) create the prediction by just filling in the
> equation you gave above. A missing value just mean you don't know the
> value. What would be the outcome of: beta_1*"an unknown value"? Stata
> correctly answers: "an unknown value".
>
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