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From |
David Jacobs <[email protected]> |

To |
[email protected] |

Subject |
Re: st: XTPCSE drops constant. Why? |

Date |
Fri, 14 Mar 2008 16:39:00 -0400 |

If the t1 through t10 variables are period specific dummies, my best guess would be that the machine is keeping all of of them (save those where that year isn't present in this data) and dropping the intercept. Suppose you specified a cross-sectional model with four out four regional dummies included and put "noconstant" at the end of the equation. The machine probably is doing that for you in this instance. Drop one of the dummies it includes in run below and see if the constant returns.

Dave

At 03:13 PM 3/14/2008, you wrote:

All,

It is a Friday evening so stay with me if this is a ridiculous question. I am running a time effects panel data model with panel corrected standard errors to account for auto-correlation. I get significant results with a high r-squared and the expected sign on the coefficients. But Stata automatically drops the constant term in some of the models. Why is it doing this? And is it a problem?

If its any help the model is meant to be showing the elasticity between mortality and income, income inequality and female education. Any help would be greatly appreciated.

The commands and results are pasted below:

xtpcse lngdata74 lngdata36 lngdata38 lngdata99 t1-t10, correlation(ar1) independent

Number of gaps in sample: 5

(note: computations for rho restarted at each gap)

(note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])

Prais-Winsten regression, independent panels corrected standard errors

Group variable: unit_id Number of obs = 175

Time variable: time5 Number of groups = 96

Panels: independent (unbalanced) Obs per group: min = 1

Autocorrelation: common AR(1) avg = 1.822917

max = 3

Estimated covariances = 1 R-squared = 0.9293

Estimated autocorrelations = 1 Wald chi2(6) = 16876.21

Estimated coefficients = 6 Prob > chi2 = 0.0000

------------------------------------------------------------------------------

| Indep-corrected

lngdata74 | Coef. Std. Err. z P>|z| [95% Conf. Interval]

-------------+----------------------------------------------------------------

lngdata36 | -.6876405 .0415146 -16.56 0.000 -.7690077 -.6062733

lngdata38 | .7374432 .12041 6.12 0.000 .501444 .9734425

lngdata99 | -.9479843 .2120751 -4.47 0.000 -1.363644 -.5323246

t1 | (dropped)

t2 | (dropped)

t3 | (dropped)

t4 | (dropped)

t5 | (dropped)

t6 | (dropped)

t7 | 10.74782 .934501 11.50 0.000 8.916227 12.5794

t8 | 10.74098 .9369609 11.46 0.000 8.904567 12.57739

t9 | 10.74641 .9380019 11.46 0.000 8.907963 12.58486

t10 | (dropped)

_cons | (dropped)

-------------+----------------------------------------------------------------

rho | .5561749

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**References**:**st: XTPCSE drops constant. Why?***From:*Daniel Wilde <[email protected]>

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