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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 17:57:08 +0100

I just note that the reason 69 are being used is because -rep78- has 5
missing observations. If it's OK in principle for -sureg- to use
different subsets of the data then your comment has force.

Nick

On Tue, Sep 25, 2012 at 5:44 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> Nick,
>
> I think David is right, and in this case -sureg- is not doing the best
> it can.
>
> Here's an example with the toy auto dataset.  There are 69 obs for rep78
> and 74 obs for everything else.  In the following example,
>
> . sureg (mpg rep78) (trunk turn)
>
> Seemingly unrelated regression
> ----------------------------------------------------------------------
> Equation          Obs  Parms        RMSE    "R-sq"       chi2        P
> ----------------------------------------------------------------------
> mpg                69      1    5.333491    0.1613      15.86   0.0001
> trunk              69      1     3.48627    0.3462      26.22   0.0000
> ----------------------------------------------------------------------
>
> -sureg- could be using all 74 observations for the trunk equation, but
> it's using only 69.
>
> It's even clearer with -reg3- (IIRC, -sureg- is implemented using
> -reg3-).  If you use -reg3- with the ols option,
>
> . reg3 (mpg rep78) (trunk turn), ols
>
> Multivariate regression
> ----------------------------------------------------------------------
> Equation          Obs  Parms        RMSE    "R-sq"     F-Stat        P
> ----------------------------------------------------------------------
> mpg                69      1     5.41057    0.1619      12.94   0.0005
> trunk              69      1    3.497684    0.3610      37.84   0.0000
> ----------------------------------------------------------------------
>
> -reg3- again uses only 69 obs for the trunk equation even though there
> are 74 available and it's being asked to do OLS only.
>
> --Mark
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
>> statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
>> Sent: 25 September 2012 17:32
>> To: statalist@hsphsun2.harvard.edu
>> Subject: Re: st: SUREG with if command.
>>
>> -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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