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


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel Regression with missing x for one entity
Date   Thu, 16 Aug 2012 12:47:56 -0400

Paul Whelan <Paul.Whelan@bankofengland.co.uk>:
It should be obvious why you get no predictions when there are missing
data; more practically, simply estimate 2 (or more) models to leave
out variables with missing data, then -replace- the -predict-ed values
that are missing with nonmissing predictions from a more restricted
model (excluding variables with missings). This approach also allows
you to compare the quality of predictions in and out of sample for
different models.

On Thu, Aug 16, 2012 at 10:23 AM, Whelan, Paul
<Paul.Whelan@bankofengland.co.uk> wrote:
> Hi,
>
> Does anyone have some advice re: the below? All countries were included in the estimation,
> just that at the prediction stage in there happens to be missing data on the right hand
> side then stata gives me no forecast?
>
> Thanks,
> Paul
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Whelan, Paul
> Sent: Wednesday, August 15, 2012 3:08 PM
> To: 'statalist@hsphsun2.harvard.edu'
> Subject: RE: st: Panel Regression with missing x for one entity
>
> 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
>
> *************************
> This email has reached the Bank via the Internet or an external network
> *************************
> 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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