----- Original Message -----
From: "Guillaume Frechette" <[email protected]>
To: <[email protected]>
Sent: Sunday, October 20, 2002 1:56 PM
Subject: Re: st: FE and groups w/out variation
> Thanks to Scott and Mark, Scott's answer was about regressors w/out
> variation which is not what I had in mind (my fault, I should have been
> clearer). Mark is closer to what I was asking about, except that in my case
> its not simply singletons (although there are some), but some groups, which
> have more than one observations, have always the same value for their
> dependant variable. BTW my intuition is the same as what Mark expressed.
> I'll now try to track down David's post. Thanks again.
>
> g
>
Here is David's post.
----- Original Message -----
From: "David M. Drukker, Stata Corp" <[email protected]>
To: <[email protected]>
Sent: Thursday, July 18, 2002 9:12 AM
Subject: Re: st: Wrong no. of obs. in xtreg fixed effect option
> Ali Mehryar Karim asked why he -xtreg , fe- includes the panels
> with only one observation in calculating the number of observations.
>
> -xtreg ,fe- does not drop the panels with only one observation because they
> provide information about the constant, the variance components, the between
> R-sq, the overall R-sq and the correlation between the u_i and xb. In fact,
> this can be seen from the output that he provided.
>
>
> > . xtreg hiv_tot_cor year core_ad,i(newcs) fe
> >
> > Fixed-effects (within) regression Number of obs = 7237
> > Group variable (i) : newcs Number of groups = 5015
> >
> > R-sq: within = 0.0332 Obs per group: min = 1
> > between = 0.0017 avg = 1.4
> > overall = 0.0081 max = 2
> >
> > F(2,2220) = 38.16
> > corr(u_i, Xb) = -0.0424 Prob > F = 0.0000
> >
> > ------------------------------------------------------------------------
> > hiv_tot_cor | Coef. Std. Err. t P>|t| [95% Conf.
> > Interval]
> > -------+----------------------------------------------------------------
> > year | .1355214 .0191276 7.09 0.000 .0980115 .1730313
> > core_ad | .1429555 .0335556 4.26 0.000 .077152 .2087591
> > _cons | 1.763668 .0149903 117.65 0.000 1.734272 1.793065
> > -------+----------------------------------------------------------------
> > sigma_u | .68639679
> > sigma_e | .63330582
> > rho | .54016449 (fraction of variance due to u_i)
> > ------------------------------------------------------------------------
> > F test that all u_i=0: F(5014, 2220) = 1.54 Prob > F =
> > 0.0000
> >
> > Therefore, I select the sample with observations for both the periods,
> > then I get:-
> >
> > . xtreg hiv_tot_cor year core_ad if interview==2,i(newcs) fe
> >
> > Fixed-effects (within) regression Number of obs = 4444
> > Group variable (i) : newcs Number of groups = 2222
> >
> > R-sq: within = 0.0332 Obs per group: min = 2
> > between = 0.0080 avg = 2.0
> > overall = 0.0175 max = 2
> >
> > F(2,2220) = 38.16
> > corr(u_i, Xb) = 0.0057 Prob > F = 0.0000
> >
> > ------------------------------------------------------------------------
> > hiv_tot_cor | Coef. Std. Err. t P>|t| [95% Conf.
> > Interval]
>
> -------------+----------------------------------------------------------------
> > year | .1355214 .0191276 7.09 0.000 .0980115 .1730313
> > core_ad | .1429555 .0335556 4.26 0.000 .077152 .2087591
> > _cons | 1.793538 .0150765 118.96 0.000 1.763972 1.823103
> > -------------+----------------------------------------------------------
> > sigma_u | .5792349
> > sigma_e | .63330582
> > rho | .45549543 (fraction of variance due to u_i)
>
> ------------------------------------------------------------------------------
> > F test that all u_i=0: F(2221, 2220) = 1.67 Prob > F =
> > 0.0000
>
> Since these observations provide information that affect the estimates, they
> should not be dropped by default. If one is interested in estimates that
> exclude the information contained in singleton panels, then they should be
> explicitly dropped.
>
> I hope that this helps.
>
> --David
> [email protected]
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