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Re: st: SUREG with if command.


From   Nick Cox <njcoxstata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: SUREG with if command.
Date   Tue, 25 Sep 2012 17:31:47 +0100

-sureg- will always do the best it can, and there is no extra trickery
except by imputing missing values.

For clarity, don't think or write in terms of missing observations.
It's values that are missing, not observations. Remember, for Stata an
observation is a complete row, record, or case in other terminology.

Nick

On Tue, Sep 25, 2012 at 5:21 PM, David Ashcraft
<ashcraftd@rocketmail.com> wrote:
> Thanks Nick, by saving number of observations, I meant e.g. for rp1, I have 120 observations so I want -sureg- to utilize 120 observations not 60 observations.  Is there a way, I could utilize all non-missing observations for each equation in -sureg- model?
>
> edit rp? if dummy==1: two variable rp8 and rp9 have all observations as missing. I dropped these two equations from the model for dummy==1. I have got some results and these are inline with my expectations. I also have checked for observation where dummy==0 and have found several instances of missing observations.
> Regards
>
> David
>
> ----- Original Message -----
> From: Nick Cox <njcoxstata@gmail.com>
> To: statalist@hsphsun2.harvard.edu
> Cc:
> Sent: Tuesday, September 25, 2012 6:34:03 PM
> Subject: Re: st: SUREG with if command.
>
> I've never used -sureg-. It seems to me that it uses or knows nothing
> about panel structure, so I surmise that it is indifferent to
> unbalanced panels as such. But it seems that you do have missing
> values in different observations and will have problems because
> -sureg- can only function with non-missing values on all variables
> named.
>
> Look at
>
> edit rp? if dummy == 1
>
> I don't know what you mean by "save the number of observation[s]".
>
> Nick
>
> On Tue, Sep 25, 2012 at 4:21 PM, David Ashcraft
> <ashcraftd@rocketmail.com> wrote:
>> Hello Nick,
>>
>> I think problem is not with the dummy variable. This may be related -sureg- model. It seems to me -sureg- needs a balanced panel resulting in drop of number of observations considerably while implementing -sureg-.
>>
>> Is there any other way where I can save the number of observation and still use seemingly unrelated regression model?
>>
>> Below is some descriptive stats for your review.
>>
>>
>> gen dummy=0
>> . replace dummy = 1 if date2>17532
>>
>> (53 real changes made)
>> . tabulate dummy
>>
>>
>>
>>       dummy |      Freq.     Percent        Cum.
>> ------------+-----------------------------------
>>           0 |         96       64.43       64.43
>>           1 |         53       35.57      100.00
>> ------------+-----------------------------------
>>       Total |        149      100.00
>>
>> . su rp1 rp2 rp3 rp4 rp6 rp7 rp8 rp9
>>
>>     Variable |       Obs        Mean    Std. Dev.       Min        Max
>> -------------+--------------------------------------------------------
>>          rp1 |       120     .001517    .0469446  -.1935012   .1102614
>>          rp2 |       120    .0008538    .0545707   -.212302   .1238899
>>          rp3 |       120    .0016796    .0565703  -.2283529   .1202257
>>          rp4 |       120    .0016847    .0588602  -.2037239   .1229283
>>          rp6 |       120    .0015542     .056026  -.2226954   .1190248
>> -------------+--------------------------------------------------------
>>          rp7 |       120    .0016078    .0503465  -.2033414   .1073936
>>          rp8 |        88    .0023456    .0709356  -.2216449   .1371796
>>          rp9 |        88    .0033193    .0779086  -.2401649   .1579783
>>
>>
>>
>>
>>
>> ----- Original Message -----
>> From: Nick Cox <njcoxstata@gmail.com>
>> To: statalist@hsphsun2.harvard.edu
>> Cc:
>> Sent: Tuesday, September 25, 2012 2:54:44 PM
>> Subject: Re: st: SUREG with if command.
>>
>> Your results show 60 observations with non-missing values; dummy is 0
>> on 60 of them (all) and so necessarily 1 on 0 (none) of them. Stata's
>> response is reasonable; there are _no_ observations to do your last
>> command.
>>
>> You should perhaps revisit your definition of -dummy-, which doesn't
>> divide the dataset.
>>
>> Nick
>>
>> On Tue, Sep 25, 2012 at 12:42 PM, David Ashcraft
>> <ashcraftd@rocketmail.com> wrote:
>>> Hi Statalist,
>>>
>>> I am trying to run -sureg- with multiple equation as per below. Now I have divided my data based on dummy variable and I want to see if the results are any different based on the dummy variable. Based on my data, I should get three different results i.e. one for the whole sample and two based on the dummy variable. I am getting the same result for the overall sample and where dummy==0 and getting no result for dummy==1.
>>>
>>> I don't understand why I am getting this result. Can anyone help me direct to the solution of this problem. I have looked at some older posts but there is no answer.
>>> Regards
>>>
>>> David
>>>
>>>
>>>
>>> sureg (rp1 rm1)(rp2 rm2)(rp3 rm3)(rp4 rm4)(rp6 rm6)(rp7 rm7)(rp8 rm8)(rp9 rm9), corr
>>>
>>> Seemingly unrelated regression
>>> ----------------------------------------------------------------------
>>> Equation          Obs  Parms        RMSE    "R-sq"       chi2        P
>>> ----------------------------------------------------------------------
>>> rp1                60      1    .0071761    0.9616    3298.70   0.0000
>>> rp2                60      1    .0092113    0.9465    2534.55   0.0000
>>> rp3                60      1    .0082266    0.9544    2847.07   0.0000
>>> rp4                60      1    .0091633    0.9491    2198.62   0.0000
>>> rp6                60      1    .0084368    0.9515    2677.13   0.0000
>>> rp7                60      1    .0060539    0.9711    3703.34   0.0000
>>> rp8                60      1     .009352    0.9866    5504.52   0.0000
>>> rp9                60      1    .0115533    0.9832    4137.04   0.0000
>>> ----------------------------------------------------------------------
>>>
>>> ------------------------------------------------------------------------------
>>>              |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
>>> -------------+----------------------------------------------------------------
>>> rp1          |
>>>          rm1 |   .9992066   .0173974    57.43   0.000     .9651084    1.033305
>>>        _cons |  -.0000674   .0009287    -0.07   0.942    -.0018876    .0017527
>>> -------------+----------------------------------------------------------------
>>> rp2          |
>>>          rm2 |   .9733916   .0193347    50.34   0.000     .9354963    1.011287
>>>        _cons |  -.0013549    .001196    -1.13   0.257     -.003699    .0009892
>>> -------------+----------------------------------------------------------------
>>> rp3          |
>>>          rm3 |   .9942406   .0186334    53.36   0.000     .9577198    1.030761
>>>        _cons |  -.0008887   .0010727    -0.83   0.407    -.0029911    .0012136
>>> -------------+----------------------------------------------------------------
>>> rp4          |
>>>          rm4 |   .9618481   .0205131    46.89   0.000     .9216431    1.002053
>>>        _cons |   .0010966   .0011632     0.94   0.346    -.0011832    .0033765
>>> -------------+----------------------------------------------------------------
>>> rp6          |
>>>          rm6 |   .9920405   .0191732    51.74   0.000     .9544617    1.029619
>>>        _cons |  -.0008398    .001099    -0.76   0.445    -.0029937    .0013142
>>> -------------+----------------------------------------------------------------
>>> rp7          |
>>>          rm7 |   .9873097    .016224    60.86   0.000     .9555113    1.019108
>>>        _cons |   .0001045   .0007886     0.13   0.895    -.0014411    .0016502
>>> -------------+----------------------------------------------------------------
>>> rp8          |
>>>          rm8 |   .9554066   .0128774    74.19   0.000     .9301673    .9806458
>>>        _cons |   .0009302   .0012033     0.77   0.439    -.0014282    .0032887
>>> -------------+----------------------------------------------------------------
>>> rp9          |
>>>          rm9 |   .9889603   .0153757    64.32   0.000     .9588245    1.019096
>>>        _cons |  -.0001408   .0014852    -0.09   0.924    -.0030518    .0027703
>>> ------------------------------------------------------------------------------
>>>
>>> Correlation matrix of residuals:
>>>
>>>          rp1      rp2      rp3      rp4      rp6      rp7      rp8      rp9
>>> rp1   1.0000
>>> rp2   0.1214   1.0000
>>> rp3   0.2210   0.9609   1.0000
>>> rp4   0.4345  -0.0342   0.0495   1.0000
>>> rp6   0.2268   0.9595   0.9982   0.0447   1.0000
>>> rp7   0.9088   0.2710   0.3749   0.7114   0.3763   1.0000
>>> rp8   0.2240   0.0839   0.0896  -0.0739   0.0987   0.1232   1.0000
>>> rp9   0.2100   0.1163   0.1462  -0.0321   0.1497   0.1600   0.7653   1.0000
>>>
>>> Breusch-Pagan test of independence: chi2(28) =   338.778, Pr = 0.0000
>>>
>>> . sureg (rp1 rm1)(rp2 rm2)(rp3 rm3)(rp4 rm4)(rp6 rm6)(rp7 rm7)(rp8 rm8)(rp9 rm9)if dummy==0, corr
>>>
>>> Seemingly unrelated regression
>>> ----------------------------------------------------------------------
>>> Equation          Obs  Parms        RMSE    "R-sq"       chi2        P
>>> ----------------------------------------------------------------------
>>> rp1                60      1    .0071761    0.9616    3298.70   0.0000
>>> rp2                60      1    .0092113    0.9465    2534.55   0.0000
>>> rp3                60      1    .0082266    0.9544    2847.07   0.0000
>>> rp4                60      1    .0091633    0.9491    2198.62   0.0000
>>> rp6                60      1    .0084368    0.9515    2677.13   0.0000
>>> rp7                60      1    .0060539    0.9711    3703.34   0.0000
>>> rp8                60      1     .009352    0.9866    5504.52   0.0000
>>> rp9                60      1    .0115533    0.9832    4137.04   0.0000
>>> ----------------------------------------------------------------------
>>>
>>> ------------------------------------------------------------------------------
>>>              |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
>>> -------------+----------------------------------------------------------------
>>> rp1          |
>>>          rm1 |   .9992066   .0173974    57.43   0.000     .9651084    1.033305
>>>        _cons |  -.0000674   .0009287    -0.07   0.942    -.0018876    .0017527
>>> -------------+----------------------------------------------------------------
>>> rp2          |
>>>          rm2 |   .9733916   .0193347    50.34   0.000     .9354963    1.011287
>>>        _cons |  -.0013549    .001196    -1.13   0.257     -.003699    .0009892
>>> -------------+----------------------------------------------------------------
>>> rp3          |
>>>          rm3 |   .9942406   .0186334    53.36   0.000     .9577198    1.030761
>>>        _cons |  -.0008887   .0010727    -0.83   0.407    -.0029911    .0012136
>>> -------------+----------------------------------------------------------------
>>> rp4          |
>>>          rm4 |   .9618481   .0205131    46.89   0.000     .9216431    1.002053
>>>        _cons |   .0010966   .0011632     0.94   0.346    -.0011832    .0033765
>>> -------------+----------------------------------------------------------------
>>> rp6          |
>>>          rm6 |   .9920405   .0191732    51.74   0.000     .9544617    1.029619
>>>        _cons |  -.0008398    .001099    -0.76   0.445    -.0029937    .0013142
>>> -------------+----------------------------------------------------------------
>>> rp7          |
>>>          rm7 |   .9873097    .016224    60.86   0.000     .9555113    1.019108
>>>        _cons |   .0001045   .0007886     0.13   0.895    -.0014411    .0016502
>>> -------------+----------------------------------------------------------------
>>> rp8          |
>>>          rm8 |   .9554066   .0128774    74.19   0.000     .9301673    .9806458
>>>        _cons |   .0009302   .0012033     0.77   0.439    -.0014282    .0032887
>>> -------------+----------------------------------------------------------------
>>> rp9          |
>>>          rm9 |   .9889603   .0153757    64.32   0.000     .9588245    1.019096
>>>        _cons |  -.0001408   .0014852    -0.09   0.924    -.0030518    .0027703
>>> ------------------------------------------------------------------------------
>>>
>>> Correlation matrix of residuals:
>>>
>>>          rp1      rp2      rp3      rp4      rp6      rp7      rp8      rp9
>>> rp1   1.0000
>>> rp2   0.1214   1.0000
>>> rp3   0.2210   0.9609   1.0000
>>> rp4   0.4345  -0.0342   0.0495   1.0000
>>> rp6   0.2268   0.9595   0.9982   0.0447   1.0000
>>> rp7   0.9088   0.2710   0.3749   0.7114   0.3763   1.0000
>>> rp8   0.2240   0.0839   0.0896  -0.0739   0.0987   0.1232   1.0000
>>> rp9   0.2100   0.1163   0.1462  -0.0321   0.1497   0.1600   0.7653   1.0000
>>>
>>> Breusch-Pagan test of independence: chi2(28) =   338.778, Pr = 0.0000
>>>
>>> . sureg (rp1 rm1)(rp2 rm2)(rp3 rm3)(rp4 rm4)(rp6 rm6)(rp7 rm7)(rp8 rm8)(rp9 rm9)if dummy==1, corr
>>> insufficient observations
>>> r(2001);
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