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From |
Joana Quina <[email protected]> |

To |
[email protected] |

Subject |
Re: st: Fixed Effects estimation with time-invariant variables |

Date |
Thu, 28 Jul 2005 09:01:00 +0100 |

I am using Stata 8 - is it possible to get -xtmixed-, or do I need Stata 9 for this? Thanks, Joana On 26/07/05, Darby Jack <[email protected]> wrote: > I think something analogous to the SAS command you reference is > implemented in Stata 9 as -xtmixed- > > From the online help: > > -xtmixed- fits linear mixed models. Mixed models are characterized > as containing both fixed effects and random effects. The fixed > effects are analogous to standard regression coefficients and are > estimated directly. The random effects are not directly estimated, > but summarized according to their estimated variances and > covariances. Random effects may take the form of either random > intercepts or random coefficients, and the grouping structure of the > data may consist of multiple levels of nested groups. The error > distribution of the linear mixed model is assumed to be Gaussian. > > On Jul 26, 2005, at 11:12 AM, [email protected] wrote: > > > Joana: > > The model you are trying to apply is generally known as a mixed > > model. It is possible to use time invariant variables and what > > would be the equivalent of a fixed effect model in SAS, the > > procedure is called Proc mixed. The terminology is not the same > > (random and fixed can mean different things), but it basically > > allows you to create an intercept for each country, and then > > "extract" from that intercept the explanatory power of your > > variables. Concerning your question about random and fixed > > effects, there is a theory reason and a mathematical one. The > > theory reason for random effects is that the relationship between > > the two variables it�s different for each country (basically, a > > different beta), while the fixed effect assumes just a change in > > the intercept for each country. The mathematical reason for using > > random effects is that the independent variables you are using are > > not correlated with belonging to a particular country (the country > > you belong to does not change the ! > > probability of having a particular value in one of your > > independent variables). This is a strong assumption (called > > orthogonal). If you use random effects under conditions in which > > the country determines, even partially, the value of your > > independent variables, then you will have specification bias and > > your results will not be thrustworthy. There is also the GLAMM > > procedure in STata, but I never had good luck with it (it requires > > too much processing power). > > > > Hope this helps. > > > > Martha Martinez. > > > > > > > > > > > > Quoting Joana Quina <[email protected]>: > > > > > >> Thank you Mark. I was told that Hausman and Taylor have an > >> Econometrica paper where they tackle the problem of time-invariant > >> variables and fixed-effects. Are you familiar with this? > >> Regarding whether it is acceptable to use random effects, my > >> supervisor has a strong view that in this case it would be wrong. > >> Could you tell me why you say it is not obviously wrong to do so? > >> > >> Thank you again, > >> Joana > >> > >> On 26/07/05, Mark Schaffer <[email protected]> wrote: > >> > >>> Joana, > >>> > >>> Date sent: Tue, 26 Jul 2005 13:56:55 +0100 > >>> From: Joana Quina <[email protected]> > >>> To: [email protected] > >>> Subject: st: Fixed Effects estimation with time- > >>> invariant > >>> > >> variables > >> > >>> Send reply to: [email protected] > >>> > >>> > >>>> Fixed Effects estimation with time-invariant variables > >>>> > >>>> I have a problem and I wonder whether anyone can help. I have a > >>>> panel > >>>> dataset of 32 Sub-Saharan African countries and four time periods > >>>> (N=32, T=4). I am looking at the determinants of aid for these > >>>> countries. Given that they are not randomly selected countries, > >>>> I am > >>>> using Fixed Effects. However, I have a few time-invariant variables > >>>> that are important but that get dropped because of using FE. Is > >>>> there > >>>> any way of obtaining estimates for these time-invariant > >>>> variables and > >>>> still use FE? > >>>> > >>> > >>> No. The fixed effects are perfectly collinear with the time- > >>> invariant variables. There's nothing you can do about this if you > >>> want to use fixed effects. > >>> > >>> > >>>> Also, given the data I'm using, is there any > >>>> justification for using Random Effects? > >>>> > >>> > >>> It's not obviously wrong to try random effects, especially as you > >>> can > >>> use a Hausman test to check whether random effects can be accepted. > >>> The fact that the time-invariant variables aren't included in the FE > >>> estimation doesn't prevent you from using the test. > >>> > >>> Hope this helps. > >>> > >>> Cheers, > >>> Mark > >>> > >>> > >>>> Any comments would be much appreciated. > >>>> > >>>> Thanks. > >>>> Joana > >>>> > >>>> * > >>>> * 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/ > >>>> > >>> > >>> Prof. Mark E. Schaffer > >>> Director > >>> Centre for Economic Reform and Transformation > >>> Department of Economics > >>> School of Management & Languages > >>> Heriot-Watt University, Edinburgh EH14 4AS UK > >>> 44-131-451-3494 direct > >>> 44-131-451-3296 fax > >>> 44-131-451-3485 CERT administrator > >>> http://www.sml.hw.ac.uk/cert > >>> > >>> * > >>> * 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/ > >>> > >>> > >> > >> * > >> * 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/ > >> > >> > > > > > > * > > * 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/ > > > > > * > * 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/ > * * 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: Fixed Effects estimation with time-invariant variables***From:*"Clive Nicholas" <[email protected]>

**References**:**st: Fixed Effects estimation with time-invariant variables***From:*Joana Quina <[email protected]>

**Re: st: Fixed Effects estimation with time-invariant variables***From:*"Mark Schaffer" <[email protected]>

**Re: st: Fixed Effects estimation with time-invariant variables***From:*Joana Quina <[email protected]>

**Re: st: Fixed Effects estimation with time-invariant variables***From:*[email protected]

**Re: st: Fixed Effects estimation with time-invariant variables***From:*Darby Jack <[email protected]>

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