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st: RE: XTLSDVC and R-squared

From   "Rodrigo Alfaro A." <>
To   <>
Subject   st: RE: XTLSDVC and R-squared
Date   Mon, 14 Apr 2008 11:17:27 -0400


I think that you could report within R2 from the LDV+FE model. 
It seems to me that you panel is large in T, is it unbalanced? 

Bruno (2005) -the author of -xtlsdvc- reports simulations on 
the effect of unbalancedness. You need the arithmetic (A), and 
harmonic (H) averages. You could check his results on the paper
and use the following code to compute the statistics using
your data. 

qui {
	* Arellano-Bond dataset
	webuse abdata
	sum year
	gen time = year - r(min) + 1
	* Getting the max time for firm
	bysort id: egen tmax=max(time)
	* Leaving only the result in last period
	replace tmax=. if time!=tmax
	gen double inv_tmax = 1/tmax
	sum tmax
	local A = r(mean)
	sum inv_tmax
	local H = 1/r(mean)
	local R = `A'/`H'
di in ye "Arithmetic =" `A' ", Harmonic=" `H' ", H/A=" `R'


Bruno, G. (2005) "Approximating the bias of LSDV estimator for 
dynamic unbalanced panel data models" Economic Letters, 87: 361-6

-----Original Message-----

The coefficients in the LSD+FE are very close to the ones from
-xtlsdvc-, a little different but very close. I have around 11,000
observations, so it takes close to 2 hours to run one model in xtlsdvc,
but I can get a good quick sense of what the results will be with just
and the LSD+FE.


-----Original Message-----

I will report the within R2, but is the LDV+FE coefficient close to the
one in -xtlsdvc-? 



[] En nombre de Jon O'Brien
Enviado el: Lunes, 14 de Abril de 2008 06:58 a.m.
Asunto: st: XTLSDVC and R-squared



I am using the XTLSDVC command to run a dynamic panel data model with
fixed effects. I have a reviewer who is insistent that I supply and
r-squared, although XTLSDVC does not supply one. As I understand it, the
LSDVC is correcting bias in the coefficients and their standard errors,
but overall model fit should be equivalent to the LSDV results
(correct?). Thus, would it be appropriate to run an XTREG with the lag
of the DV and fixed effects and use the R-squared from that regression?
If so which R-squared should I report: within, between or overall?



Thank you for any help or suggestions,


Jon O'Brien

UCD School of Business

Dublin, Ireland


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