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Re: st: How to correctly include year effects in panel data
From
Herman Haugland <[email protected]>
To
[email protected]
Subject
Re: st: How to correctly include year effects in panel data
Date
Tue, 6 Aug 2013 23:18:04 +0200
Sorry, I'm new at Statalist.
The paper is this:
http://www.bankofengland.co.uk/publications/Documents/externalmpcpapers/extmpcpaper0031.pdf
Please see from the bottom of page 13 to page 14.
Regarding the output from Stata:
I run:
xtset year id
xtreg depVar L.IndepVar, fe vce(cluster id)
The error I mention, is related to the fact that there are too many
time invariant variables being included, and this is reflected here:
F(2,2) = .
Prob > F = .
As you can see, the F value is a dot. Stata help sends me here: help
j_robustsingular // Fourth subtitle: "Are you using a svy estimator
or did you specify the vce(cluster clustvar) option?"
In principle I though that the problem was related to the fact that I
have a much longer panel, but after replicating the estimation using
the same amount of variables as Miles et al. I still have the same
problem. So that's why I'm wondering, how did he include year
effects, and still was able to get the corresponding F-values.
Thanks, and sorry for the lack of detail in my previous e-mail.
Med vennlig hilsen / Best regards,
Herman Haugland
________________
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Tel: +47 930 289 69
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LinkedIn: /in/hermanhaugland
On Tue, Aug 6, 2013 at 11:06 PM, Nick Cox <[email protected]> wrote:
> Proper references please. The point is explained at length in the FAQ.
>
> Nick
> [email protected]
>
>
> On 6 August 2013 21:59, Herman Haugland <[email protected]> wrote:
>
>> I am trying to replicate the work of Miles et al. "Optimal bank
>> capital", and I'm puzzled about how did he implement year effects for
>> his model.
> *
> * 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/
*
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