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Re: st: Random coefficients model


From   Jeph Herrin <stata@spandrel.net>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Random coefficients model
Date   Sat, 01 Jun 2013 14:34:55 -0400

Since you seem to want some coefficients to not be random, then -xtrc- will not work for you; the model it estimates assumes all coefficients are random.

Other than that, I'm not sure how to advise you. If you explained what model you wanted to estimate, it would be easier to identify which Stata command you should use.

cheers,
Jeph

On 5/31/2013 4:27 PM, Lu Zhang wrote:
Hi Jeph,

Thanks for your reply. I found that both xtmixed and xtrc can do
random coefficients model in Stata. I have an unbalanced firm-year
panel with over 500 firms and about 30-year long time series. I want
to calculate a regression coefficient for each firm. I am not sure
which one of the two methods fits my data better and what are the
difference between them. Any advice?

Thanks.

Lu

On Fri, May 31, 2013 at 2:04 PM, Jeph Herrin <stata@spandrel.net> wrote:
Yes. Typically, one must specify which coefficients are random; other remain
fixed.

I suggest you look at -help xtmixed-.


cheers,
Jeph





On 5/31/2013 2:40 PM, Lu Zhang wrote:

Hi,

I have a question about the random coefficients model. I am wondering
whether it is possible to fix some of the independent variables, i.e.
the same coefficients across all the groups, and only allow one of the
independent variable to have random coefficient, i.e. each group has
its own coefficient? Any advice or suggestions will be greatly
appreciated.

Thanks.

Lu
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