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From |
John Antonakis <John.Antonakis@unil.ch> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: RE: How to perform a Wald test between the fixed effect... |

Date |
Thu, 21 Feb 2013 10:02:57 +0100 |

Hi Frank.

eg.., clear webuse nlswork xtset idcode xtreg ln_w race age , fe r bys idcode: egen mean_race = mean(race) xtreg ln_w race age , re r test race dis sqrt(r(chi2)) Which equals the z value, 7.37, from the model. Best, J. __________________________________________ John Antonakis Professor of Organizational Behavior Director, Ph.D. Program in Management Faculty of Business and Economics University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 http://www.hec.unil.ch/people/jantonakis Associate Editor The Leadership Quarterly __________________________________________ On 21.02.2013 08:29, Frank Barbera wrote: > First off, I'd like to thank Dave and John for their responses. >

>

> > generate ffid = id*ff > > generate nfid = id*(1-ff) >

> > xi: regress y x i.ffid i.nfid, noconstant >

>

> > F( 1, 9) = 0.38 > Prob > F = 0.5532 >

> > Sorry for the basic questions, but I'm completely new to Stata. > > Frank Barbera > > -----Original Message-----

> Sent: Thursday, 21 February 2013 3:20 AM > To: statalist@hsphsun2.harvard.edu

> > Hi Frank: >

>

> http://www.hec.unil.ch/jantonakis/Causal_Claims.pdf > (refer to the paper by Mundlak for technical explanations) > > Try this (suppose you want to test for race): > > clear > webuse nlswork > xtset idcode > xtreg ln_w race age , fe r > est store fe > > *notice race gets kicked out > > bys idcode: egen mean_race = mean(race) > > xtreg ln_w race age , re r > est store re > > est tab fe re, se t >

>

> > HTH, > J. > > __________________________________________ > > John Antonakis > Professor of Organizational Behavior > Director, Ph.D. Program in Management > > Faculty of Business and Economics > University of Lausanne > Internef #618 > CH-1015 Lausanne-Dorigny > Switzerland > Tel ++41 (0)21 692-3438 > Fax ++41 (0)21 692-3305 > http://www.hec.unil.ch/people/jantonakis > > Associate Editor > The Leadership Quarterly > __________________________________________ > > On 20.02.2013 17:57, Jacobs, David wrote:

>>

>> >> Dave Jacobs >> >> -----Original Message----- >> From: owner-statalist@hsphsun2.harvard.edu >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Frank >> Barbera >> Sent: Wednesday, February 20, 2013 4:59 AM >> To: statalist@hsphsun2.harvard.edu >> Subject: st: How to perform a Wald test between the fixed effect... >> >> Dear Stata users, I'm attempting to perform what appears to be a >> relatively simple procedure in Sata, but due to my lack of experience >> with the program, I'm having a really hard time. I'm using a panel to >> estimate a the following standard fixed effects model >> >> (1) yit = ai + bxit + eit. >> >> Where i are individual firms (3450 firms, coded as 'id') and t is time >> (3 years, coded as 'time'). Each firm can further be classified as >> belonging to a group (called 'ff') or not (I'll call these 'not ff'). >> This is done by way of a dummy variable equating to 1 if the firm is >> in the ff group and 0 otherwise. The problem is that ff is time >> invariant, so its effect cannot be directly estimated in the model >> (it's been absorbed into ai). Of course a random effect specification >> would allow me to observe the ff effect on y, but the data violate the >> assumption of no correlation between the unique errors and the >> regressors, so the fixed effect model is preferred. I took a closer >> look at the estimates for ai by way of the following command >> >> regress y x i.id, noconstant >>

>> >> Can anyone help? >> >> Frank Barbera >> >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/faqs/resources/statalist-faq/ >> * http://www.ats.ucla.edu/stat/stata/ >> >> * >> * For searches and help try: >> * http://www.stata.com/help.cgi?search >> * http://www.stata.com/support/faqs/resources/statalist-faq/ >> * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: RE: How to perform a Wald test between the fixed effect...***From:*Frank Barbera <fbarbera@bond.edu.au>

**References**:**st: How to perform a Wald test between the fixed effect...***From:*Frank Barbera <fbarbera@bond.edu.au>

**st: RE: How to perform a Wald test between the fixed effect...***From:*"Jacobs, David" <jacobs.184@sociology.osu.edu>

**Re: st: RE: How to perform a Wald test between the fixed effect...***From:*John Antonakis <John.Antonakis@unil.ch>

**RE: st: RE: How to perform a Wald test between the fixed effect...***From:*Frank Barbera <fbarbera@bond.edu.au>

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