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From |
Lu Zhang <lu.zhang@ualberta.ca> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Random coefficients model |

Date |
Mon, 3 Jun 2013 11:28:51 -0600 |

The model I would like to estimate is: V =a+b1*Size+b2*Lev+b3*K, i.e. firm value is a function of size, leverage and capital. I have an unbalanced firm-year panel with over 500 firms and 30 years. I would like b1 and b2 to be fixed across all firms and b3 to be firm-specific. I agree that -xtrc- wouldn't be able to do this, but I am not quite sure -xtmixed- is the correct model to use. If allowing all three coefficients to be random, which one of the two methods would be a better fit? Thanks a lot. Cheers, Lu On Sat, Jun 1, 2013 at 12:34 PM, Jeph Herrin <stata@spandrel.net> wrote: > 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 >>>> * >>>> * 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: Random coefficients model***From:*Maarten Buis <maartenlbuis@gmail.com>

**References**:**Re: st: Random coefficients model***From:*Jeph Herrin <stata@spandrel.net>

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