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RE: Antwort: RE: st: why reg3 dropped constant term ?


From   KAMAL MANJU <kamaali_1@hotmail.com>
To   statalist-for help STATA <statalist@hsphsun2.harvard.edu>
Subject   RE: Antwort: RE: st: why reg3 dropped constant term ?
Date   Tue, 4 Jan 2011 23:49:08 +0800

Thank you all for your responses and valuable suggestions.

I will try your suggestions and will share the results.


In the meanwhile, I still have some difficulty in understating why reg3 did not drop the constant term when I used data set one but drop only when I use the remaining three separate data sets?. Anyway, this could be that I am asking the the same question again but in different ways. Nevertheless this is really a puzzling thing for me. 

Below is the output when I use data set one (it is exactly the same specification I used in the other data sets including the one I sent to this list few days ago), I need your comment and advice. 

You may look at the problem from another point I think. Is it a technical error in my stata command use? or something else? 
Thank you in advance.

==========Stata output started after this line====================

. reg3 (Leverage:d.lvr=l.lvr d.rwar roa llpta lta liq  hhi y_2 y_3 y_4 y_5 y_6 y_7 y_8) (Prisk: d.rwar = l.rwar d.lvr llpta liq lta  hhi y_2 y_3 y_4 y_5 y
> _6 y_7 y_8),small

Three-stage least-squares regression
----------------------------------------------------------------------
Equation          Obs  Parms        RMSE    "R-sq"     F-Stat        P
----------------------------------------------------------------------
Leverage          281     12    3.762573    0.1994      10.45   0.0000
Prisk             281     11    .0924083    0.0587       4.90   0.0000
----------------------------------------------------------------------

------------------------------------------------------------------------------
             |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
Leverage     |
         lvr |
         L1. |  -.2571531   .0304537    -8.44   0.000    -.3169771   -.1973292
        rwar |
         D1. |    14.8132   6.996703     2.12   0.035     1.068699    28.55769
         roa |   1.042571   .1386426     7.52   0.000     .7702178    1.314924
       llpta |   40.36117   14.56836     2.77   0.006     11.74272    68.97962
         lta |  -.3488977   .1331556    -2.62   0.009    -.6104718   -.0873236
         liq |   1.587225   .3077869     5.16   0.000      .982601    2.191849
         hhi |   -.021382   .0117853    -1.81   0.070    -.0445334    .0017693
         y_2 |  -2.296285   .8223137    -2.79   0.005    -3.911659    -.680912
         y_3 |  (dropped)
         y_4 |   .3629929    .887428     0.41   0.683    -1.380293    2.106278
         y_5 |  -1.220195   .8827569    -1.38   0.167    -2.954304     .513915
         y_6 |   .0483594   .8939609     0.05   0.957    -1.707759    1.804478
         y_7 |   1.583269   .9709947     1.63   0.104    -.3241774    3.490715
         y_8 |  (dropped)
       _cons |   1.653741    .784616     2.11   0.036     .1124221     3.19506
-------------+----------------------------------------------------------------
Prisk        |
        rwar |
         L1. |  -.1696178   .0317984    -5.33   0.000    -.2320834   -.1071521
         lvr |
         D1. |   .0070528   .0024415     2.89   0.004     .0022567    .0118489
       llpta |  -.1530775   .3234974    -0.47   0.636    -.7885638    .4824088
         liq |   .0085192   .0070835     1.20   0.230    -.0053959    .0224343
         lta |   .0004697   .0031959     0.15   0.883    -.0058084    .0067479
         hhi |   .0003831   .0002989     1.28   0.201    -.0002041    .0009702
         y_2 |   .0205446   .0207591     0.99   0.323     -.020235    .0613242
         y_3 |  (dropped)
         y_4 |  -.0236299   .0216929    -1.09   0.277     -.066244    .0189843
         y_5 |  -.0021247   .0217522    -0.10   0.922    -.0448553    .0406059
         y_6 |  -.0078243   .0219004    -0.36   0.721    -.0508461    .0351974
         y_7 |  -.0515464   .0224135    -2.30   0.022    -.0955761   -.0075167
         y_8 |  (dropped)
       _cons |   .0882037   .0221066     3.99   0.000      .044777    .1316304
------------------------------------------------------------------------------
Endogenous variables:  D.lvr D.rwar 
Exogenous variables:   L.lvr roa llpta lta liq hhi y_2 y_3 y_4 y_5 y_6 y_7 
     y_8 L.rwar 
------------------------------------------------------------------------------

=============End of Stata Output here above this line=======================================




----------------------------------------
> From: kit.baum@bc.edu
> Subject: re: Antwort: RE: st: why reg3 dropped constant term ?
> Date: Sun, 2 Jan 2011 15:43:19 -0500
> To: statalist@hsphsun2.harvard.edu
>
> <>
> Justina said
>
> estimating for a subsample for which the succedding year is availabe,
> e.g. for 2001- 2005, with data for 2006 available, so that the first
> difference 2005-2006 can be caculated.
>
> This is not how first differences (D. in Stata) work. The first difference in 2005 is defined if you have data for 2004 and 2005. You are never concerned about the succeeding year's data. However, with data for 2001-2005, you can only calculate D. for 2002-2005.
>
> 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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