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Hi,
I'd like to test a basic form of my model (panel T=7 N=380) with one regressor that is time invariant and two regressors that have low within variance with the following percentage
Y: 15%
X1: 0.6%
X2:0.6%
X3:0
hausman test rejects the RE model (using -xtreg-) so I cannot estimate the model with the time invariant regressor that for me it's very important.
I tried the -xtfmb- which is an implementation of the Fama and MacBeth (1973) two step procedure, I report the very clear description of the command from the help
-xtfmb- "is an implementation of the Fama and MacBeth (1973) two step procedure. The procedure is
as follows: In the first step, for each single time period a cross-sectional regression is
performed. Then, in the second step, the final coefficient estimates are obtained as the
average of the first step coefficient estimates."
The coefficient I obtain from this procedure are practically the same with the RE model.. I attached the results below. I wonder whether the -xtfmb- produces inconsistent estimates as well.. any help would be very appreciated.
Ivan
Random-effects GLS regression Number of obs = 2660
Group variable (i): region Number of groups = 380
R-sq: within = 0.0097 Obs per group: min = 7
between = 0.8153 avg = 7.0
overall = 0.7953 max = 7
Random effects u_i ~ Gaussian Wald chi2(3) = 1665.29
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
lnmig | Coef. Std. Err. z P>|z| [95% Conf. Interval]
lndpop | .9560363 .0338689 28.23 0.000 .8896544 1.022418
lnopop | 1.023108 .0338689 30.21 0.000 .9567262 1.08949
lndist | -.3231335 .0587596 -5.50 0.000 -.4383002 -.2079668
_cons | -21.17337 .799259 -26.49 0.000 -22.73989 -19.60685
sigma_u | .68680964
sigma_e | .27499318
rho | .86183578 (fraction of variance due to u_i)
Fama-MacBeth (1973) Two-Step procedure Number of obs = 2660
Num. time periods = 7
F( 3, 6) = 11189.96
Prob > F = 0.0000
avg. R-squared = 0.7962
| Fama-MacBeth
lnmig | Coef. Std. Err. t P>|t| [95% Conf. Interval]
lndpop | .9552167 .0101939 93.70 0.000 .9302731 .9801604
lnopop | 1.017995 .0061794 164.74 0.000 1.002874 1.033115
lndist | -.3232731 .0117134 -27.60 0.000 -.3519349 -.2946114
_cons | -21.08686 .1716352 -122.86 0.000 -21.50683 -20.66688
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