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st: RE: RE: RE: Re: RE: panel data analysis using xtregar


From   Julius Fr�d�ric Andr� <[email protected]>
To   <[email protected]>
Subject   st: RE: RE: RE: Re: RE: panel data analysis using xtregar
Date   Wed, 30 Nov 2005 13:10:27 +0100

Jean,

thanks for the hint, even though I was initially planning not to use an LSDV
approach due to the loss in df. I will look into it, the paper from Bruno on
the method in xtlsdvc is quite appealing. 

Regards,

Julius




-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Salvati, Jean
Sent: 29 November 2005 15:40
To: [email protected]
Subject: st: RE: RE: Re: RE: panel data analysis using xtregar

Julius,

You may also want to look at the bias-corrected LSDV estimator implemented
in the Stata module xtlsdvc by Giovanni Bruno. See the following page:

http://ideas.repec.org/c/boc/bocode/s450101.html 

Jean Salvati

> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Julius 
> Fr�d�ric Andr�
> Sent: Tuesday, November 29, 2005 3:19 AM
> To: [email protected]
> Subject: st: RE: Re: RE: panel data analysis using xtregar
> 
> Thanks to Rodrigo and Steve for taking the time to comment, I will 
> consider these in my work.
> 
> Regards,
> 
> JULIUS
> 
> 
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Rodrigo 
> Alfaro
> Sent: 27 November 2005 17:17
> To: [email protected]
> Subject: st: Re: RE: panel data analysis using xtregar
> 
> Julius, first lagged dependent variable (LDV) with xtreg, fe and 
> xtregar is not the same. xtregar works like Cochrane-Orcutt regression 
> (meaning you have the first observation... read Autocorrelation 
> section in any textbook to learn about it)... for that purpose you 
> have to set what kind of rho will be in your regression (option 
> rhotype)...
> the default is Durbin-Watson. 
> Details of the formula appear in the manual reference. If the 
> coefficient of your LDV is near to 1 maybe you have a Unit Root case 
> (note that this coefficient is downward-biased if it is positive 
> Nickell 1968). There is a huge (and maybe more than that) about LDV+FE 
> versus Arellano-Bond (1991, GMM estimator), Anderson-Hsiao (1981, IV 
> estimator)... it seems to me that the bias generated by LDV+FE it is 
> not so bad in compare with weak instruments.
> Hahn-Kuersteiner (2000) propose an asymptotic correction for that 
> parameter... all these is available in Arellano's book. Rodrigo.
> 
> 
> ----- Original Message -----
> From: "Steve Stillman" <[email protected]>
> To: <[email protected]>
> Sent: Saturday, November 26, 2005 8:48 PM
> Subject: st: RE: panel data analysis using xtregar
> 
> 
> > Julius.  It is not exactly clear what your model is here, but, in 
> > general,
> 
> > panel data models with lagged dependent variables cannot be 
> > consistently estimated by directly entering the lagged
> variable as a
> > RHS variable.  It sounds like you should have a look at xtabond and 
> > the user-written
> > xtabond2 for your model.
> >
> > Cheers,
> > Steve
> >
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]]On Behalf Of Julius 
> > Fr�d�ric Andr�
> > Sent: Sunday, November 27, 2005 7:26 AM
> > To: [email protected]
> > Subject: st: panel data analysis using xtregar
> >
> >
> > Dear statalist,
> >
> > Currently researching balanced panel data using insolvency
> prediction
> > estimates for different companies and regressing them (among other 
> > controlling, time-variant variables) on time dummies to
> evaluate the
> > effects of a policy introduction in a certain year. I am
> using xtreg,
> > fe for evaluation, the panel is described by t=12 and
> i=110. I presume
> > autocorrelation of the insolvency predictor (ie. the dependent
> > variable) and therefore constructed a dataset with a lagged
> variable
> > for the insolvency predictor, hence also had to eliminate the first 
> > period of the original dataset. It turned out that the estimator of 
> > the lagged variable is indeed highly significant.
> >
> > Now I also consider using xtregar. Being new to stata (also
> to panel
> > data and time series analysis), however, I unfortunately could not 
> > find the underlying formula used by Stata up to now. Would such an 
> > autoregressive model be similar to the approach I did manually with 
> > introducing a lagged variable and deleting the values of the first 
> > period for each I? The stata result being different for the AR(1) 
> > model and the fixed-effect model including a lagged variable do not 
> > corroborate this assumption, so I assume some other
> underlying model.  
> > I know that an AR appproach incorporates past values, but does this 
> > mean the past error term, the past dependent or the past
> independent
> > variable (or all of them)? It would be of great help if
> someone could
> > provide a formula here or give a brief statement if I
> should resort to
> > xtregar at all if I assume autocorrelation anyways (so that the 
> > applying AR is simply not necessary anymore).
> >
> > Additionally, I would like to backup my decision to include
> a lagged
> > variable in the model by testing on autocorrelation, using a 
> > Durbin-Watson substitute for panel data, such as Bhargava et al. I 
> > know that Stata can calculate this statistic when using xtregar, 
> > however, it seems to me that the reported output is the
> result AFTER
> > applying the AR (1) model, indicating only the presence or
> absence (or
> > degree) of autocorrelation left after using the AR model? Is this 
> > correct, or does the test statistic indicate autocorrelation before 
> > using the AR model?
> >
> > Lastly, I am not sure whether I could also use the Baltagi-Wu test 
> > score alternatively, seeing to it that I have a balanced
> dataset. Is
> > this test statistic only working with unbalanced data?
> >
> > The three preceding issues certainly are still on a somewhat basic 
> > level, however, I would definitely appreciate useful
> comments on any
> > or all of these!
> >
> >
> > Thank you very much in advance,
> >
> > JULIUS ANDRE
> >
> >
> > *
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