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From |
Joseph Coveney <[email protected]> |

To |
Statalist <[email protected]> |

Subject |
Re: st: How to test for Fixed Effect after "areg" |

Date |
Sun, 20 Jul 2003 13:07:11 +0900 |

Jayesh Kumar posted: ---------------------begin excerpt from posting--------------------------------- I am trying to fit a Fixed Effect Model, with two sets of controls (say x1 and x2). I want to test whether fixed effect is significant for both of the x's or any one. That is to say I want to do an F-test for significance of coefficients of fixed effects for x1 and x2 seperately and jointly as well. Since, my data set includes larg number of i(2000) and t(15), I am not able to it through "reg". Other option is to use "areg", but I am not able to figure out how to test for the significance after areg. Is there any option to do a joint F-test for the significance of fixed effect after areg? -----------------------end excerpt from posting--------------------------------- I'm not sure whether I follow Jayesh's description, but if I understand it correctly, then I recommend to use -xtreg , re- and not -areg- (-xtreg , fe- would be the same). If the independent variables x1 and x2 (sets of controls) are between individuals, then both -areg- and -xtreg , fe- would drop both of those independent variables. -xtreg , re- would allow testing of them. (- xtreg , be- would be the same if the dataset is balanced, that is, no missing data.) Testing independent variables jointly is easy in Stata. The command would be - test x1 x2- after a suitable estimation command. Take a look at the illustration below. Gloss over all but the last three commands; most of the do-file is just to create an illustrative fictional dataset with i(2000) and t(15) and then to fit a model to the data. In the illustration, the two sets of controls are named ind1 and ind2, two independent variables (covariates) with values 0 (control) and 1 (noncontrol). After fitting a suitable statistical model of the data, I use -test- on the covariates individually, and then on them jointly. If the dataset is a time series with 15 relatively distantly spaced intervals, or if the model is nonnormal, then -xtgee- or some other estimation command of the -xt- series might be more suitable. Joseph Coveney ------------------------begin illustration do-file------------------------------ clear set seed 20030720 set obs 15 set more off forvalues i = 1/15 { generate float a`i' = 0.7 quietly replace a`i' = 1 in `i' } mkmat a*, matrix(A) local means "100" local sd "15" local dep "dep1" forvalues i = 2/15 { local means = "`means'" + ", 100" local sd = "`sd'" + ", 15" local dep = "`dep'" + " dep`i'" } drawnorm "`dep'", n(2000) means("`means'") /* */ sd("`sd'") corr(A) clear matrix drop A generate int rid = _n generate byte ind1 = uniform() > 0.5 generate byte ind2 = uniform() > 0.5 reshape long dep, i(rid) j(tim) xi: xtreg dep ind1 ind2 i.tim, i(rid) re * * Testing each alone * test ind1 test ind2 * * Testing both together * test ind1 ind2 exit --------------------------end illustration do-file------------------------------ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: How to test for Fixed Effect after "areg"***From:*JAYESH KUMAR <[email protected]>

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