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Re: st: RE: stata drops variable at random


From   Marck Bulter <177316mb@student.eur.nl>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: stata drops variable at random
Date   Sun, 09 Dec 2007 22:43:00 +0100

Schaffer, Mark E wrote:
Marck,


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Marck Bulter
Sent: 09 December 2007 17:24
To: statalist@hsphsun2.harvard.edu
Subject: st: stata drops variable at random

Dear all,

Currently I am working on a panel data regression. Main problem is that Stata drops variables at random immediately after a performed regression.
For example if the following regression is performed:

xtivreg pstrmon price mat age coup pstrmonprev pstrprev intr ivol compl (precmon = price mat age coup pstrmonprev pstrprev intr ivol compl
precmonprev)

Stata drops often one of the above variables, or the ID-var or the Time-Var
There's a basic misunderstanding here. In

xtivreg y x1 x2 x3 (y1 y2 y3 = z1 z2 z3)

the sets of xs, ys and zs shouldn't overlap: the xs are the included
exogenous regressors, the ys are the included endogenous regressors, and
the zs are the excluded instruments.

In your example, you have included all your xs in the list of zs.
Naturally, Stata finds collinearities and drops variables. The right
way to run the regression in your example is

xtivreg pstrmon price mat age coup pstrmonprev pstrprev intr ivol compl (precmon = precmonprev)

Cheers,
Mark


Any help would be very much appreciated, not much hair left,

Kind regards,
Marck Bulter




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Dear Mark,

Thank you for your reply. I have corrected the specification and the regression seem to be more reliable/stable. ( I think I mixed it up with Eviews, where you have to declear all instruments). Sometimes variables still disappear, but less often than it used to be. I think there is still some higher degree of (multi)collinearity between variables.

Thanks again,

regards,
Marck




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