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From |
Stas Kolenikov <[email protected]> |

To |
[email protected] |

Subject |
Re: st: RE: constraints in reg3 |

Date |
Wed, 29 Sep 2004 08:19:58 -0400 |

On Wed, 29 Sep 2004 11:33:08 +0100, Neumayer,E <[email protected]> wrote: > Hi, this takes up a thread from about 4 weeks ago. Kit Baum clarified that if you do > > 1. reg y x1 x2 > 2. reg y1 x1 x2 > 3. reg y2 x1 x2 > > and y = y1 + y2, then the coefficient vector of model 1 is the sum of the coefficient vectors on models 2 and 3. > > I did this with xtpcse for data that have both cross-sectional and time-series dimension and find this to be true, of course. However, if I specify xtpcse, corr(ar1) then the coefficient vectors of models 2 and 3 no longer add up to the coefficient vector of model 1. I presume this is because xtpcse, corr(ar1) uses Prais-Winsten, whereas xtpcse without the corr(ar1) option uses OLS. I have two questions: > > a. Can anyone explain why the coefficient vectors of models 2 and 3 no longer add up to the coefficient vector of model 1 if xtpcse, corr(ar1) is used? IMHO: I would suspect that -xtpcse- comes up with different estimates of the AR(1) correlation coefficient, and that's where the models stop being comparable (and additive): think about GLS with different matrices inside; they won't add up, although there might be a way to combine the results with messy and ugly matrix algebra. If it were possible to restrict the rho to be the same across the two models, then they should give you the additive answers again. -xtpcse- does not provide for fixing the rho; -xtregar- does with -rhof()- option, so that may be something you might want to try out. > b. Should I accept that the coefficient vectors no longer add up or should I artificially restrict them to be the same? No good answer from me. You should have a better feel for your particular substantive problem. -- Stas Kolenikov http://stas.kolenikov.name * * 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/

**References**:**st: RE: constraints in reg3***From:*"Neumayer,E" <[email protected]>

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