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st: random coefficient estimation: xtrc


From   Viktor Slavtchev <viktor.slavtchev@tu-freiberg.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: random coefficient estimation: xtrc
Date   Fri, 06 Jan 2006 16:10:53 +0100

hello dear statalisters,
I'm trying to estimate group/panel specific coefficients (particular coefficients for each group) by means of random coefficient estimation procedure xtrc in Stata9 (or xtrchh2 in Stata8).
The data I'm using is panel data set: 4 years, 97 groups (observations) per year. The model I'm using is linear and defined as followed: ln(ouput)=a+b*ln(input). Thus, the estimated coefficients could be interpreted as elasticities and therefore range in [0;1]. What I'm obtaining are group specific coefficients larger than 1 and/or even negative values. Coefficients in [0;1] are really an exception. The overall estimated elasticity is about .4. Are there any particular distributional assumptions required? Are there any other methods, which allow random coefficient estimation? Do you have some tip for me to solve that problem? Thanks for any help.
P.S. Estimating group-specific coefficients by using nbreg (pooled) and interaction dummies for every single group (97 dummies in total) provides plausible coefficients.
with kind regards,
viktor
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