<>
On the "constant" issue with -xtreg, fe-, also see
http://www.stata.com/support/faqs/stat/xtreg2.html
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Menale Kassie
Gesendet: Sonntag, 12. Juli 2009 22:53
An: [email protected]
Betreff: Re: st: re: xtiverg2
Many thanks for this, Kit Baum.
/Menale
----- Original Message ----
From: Kit Baum <[email protected]>
To: [email protected]
Sent: Sunday, July 12, 2009 12:49:04 PM
Subject: st: re: xtiverg2
<>
Menale said
I have learned the application of xtiverg2 when we have unbalanced data (
singletons)from previous posts. After reading previous posts and running
xtiverg2 , I would like to ask the following questions. 1) What happen to
the constant term when we use xtiverg2. The constant term is not shown in
xtiverg2 although the slope coefficients are the same as xtreg, fe. 2) Can
I use xtivreg2 even if I do not have endogenous regressor. The reason I
want using xtiverg2 is to avoid deleting single observations manually for
the reasons mentioned by Mark in his reply to the question, xtiverg2 and
singleton-cases, in 2006.
Mark Schaffer's -xtivreg2- (SSC) is the routine in question.
(1) A standard fixed effects estimation (the LSDV model) wipes out the
constant term, as does a standard estimation in first differences. For
consistency between these two approaches, -xtivreg2- does not report the
constant term. -xtreg- and -xtivreg- do so because they represent the
coefficients on the panel fixed effects as the deviations from their grand
mean. But the within transformation leads to a model without a constant
term. As you note, -xtivreg2- will automatically detect and remove
singleton cases. That is no big deal, though;
bysort panelid: drop if _N==1
will do that.
(2) -xtivreg2- is a 'wrapper' for Baum-Schaffer-Stillman -ivreg2- (SSC).
-ivreg2- can handle estimation of models without endogenous regressors (so
it can do OLS, OLS with HAC VCE, etc.) Therefore -xtivreg2- can handle such
models, and provides a way to implement the first difference (FD)
transformation in an OLS model. Strangely, official -xtreg- does not handle
FD, but -xtivreg- does. Perhaps that strange inconsistency will be rectified
in Stata 11.
Kit
Kit Baum | Boston College Economics & DIW Berlin |
http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming |
http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata |
http://www.stata-press.com/books/imeus.html
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