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RE: st: SUREG with if command.


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: SUREG with if command.
Date   Tue, 25 Sep 2012 18:23:24 +0100

It is indeed possible in principle to use the additional obs.  -sureg-
and -reg3- are estimating the error components for a 2-eqn model, so the
estimated covariance matrix is 2x2:

. qui reg3 (mpg rep78) (trunk turn), ols

. mat list e(Sigma)

symmetric e(Sigma)[2,2]
              mpg       trunk
  mpg   29.274269
trunk  -5.0326348   12.233795

The above uses OLS appled to 69 obs for both equations.  If we use
-regress- to estimate the mpg eqn, where only 69 obs are available, we
get the same error variance:

. qui reg mpg rep78

. di e(rmse)^2
29.274269

But -regress- applied to the trunk equation on its own uses all 74 obs,
and so the error variance is different (and, since it uses more obs,
preferable):

. qui reg trunk turn

. di e(rmse)^2
11.848587

In principle -sureg-/-reg3- should use the additional 5 obs when
estimating the trunk equation.  Not to do so is throwing away
information.

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
> Sent: 25 September 2012 17:57
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: SUREG with if command.
> 
> 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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> > Heriot-Watt University is the Sunday Times Scottish University of
the
> > Year 2011-2012
> >
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> > join us in leading and driving research in key inter-disciplinary
themes.
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-- 
Heriot-Watt University is the Sunday Times
Scottish University of the Year 2011-2012

We invite research leaders and ambitious early career researchers to 
join us in leading and driving research in key inter-disciplinary themes. 
Please see www.hw.ac.uk/researchleaders for further information and how
to apply.

Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


*
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