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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 |
Thu, 16 Aug 2012 18:08:36 +0100 |

As I said, it is obvious why there are no predictions. I was looking for practical advice since the data contains non-randomly missing. Estimating models with and without the missing data sounds sensible. Thanks, Paul -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Austin Nichols Sent: Thursday, August 16, 2012 5:48 PM To: statalist@hsphsun2.harvard.edu Subject: Re: st: Panel Regression with missing x for one entity 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". * * 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/ _____________________________________________________________________ This e-mail originated from the Internet and has been scanned for known viruses by the Messagelabs SkyScan Service. *********************************************************************************** This e-mail is intended for the addressee(s) named above and any other use is prohibited. It may contain confidential information. If you received this e-mail in error please contact the sender by return e-mail. The Bank of England does not accept legal responsibility for the contents of this message if it has reached you via the Internet, as Internet communications are not secure. Any opinions expressed are those of the author and are not necessarily endorsed by the Bank of England. Recipients are advised to apply their own virus checks to this message . *********************************************************************************** _____________________________________________________________________ This e-mail has been scanned for known viruses by the Messagelabs SkyScan Service. * * 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: Panel Regression with missing x for one entity***From:*"Whelan, Paul" <Paul.Whelan@bankofengland.co.uk>

**Re: st: Panel Regression with missing x for one entity***From:*Maarten Buis <maartenlbuis@gmail.com>

**RE: st: Panel Regression with missing x for one entity***From:*"Whelan, Paul" <Paul.Whelan@bankofengland.co.uk>

**Re: st: Panel Regression with missing x for one entity***From:*Nick Cox <njcoxstata@gmail.com>

**RE: st: Panel Regression with missing x for one entity***From:*"Whelan, Paul" <Paul.Whelan@bankofengland.co.uk>

**RE: st: Panel Regression with missing x for one entity***From:*"Whelan, Paul" <Paul.Whelan@bankofengland.co.uk>

**Re: st: Panel Regression with missing x for one entity***From:*Austin Nichols <austinnichols@gmail.com>

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