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RE: st: why reg3 dropped constant term ? A resent mail NEW QUESTIONS


From   KAMAL MANJU <kamaali_1@hotmail.com>
To   statalist-for help STATA <statalist@hsphsun2.harvard.edu>
Subject   RE: st: why reg3 dropped constant term ? A resent mail NEW QUESTIONS
Date   Wed, 5 Jan 2011 16:47:56 +0800


Dear all, This is a re-sent mail. I guess my new questions below may not have been noted by list memebre. So I am sending it agin.
I am referring to Stata output below for one of my data sets where the constern term estimated and reported using exactly the same specification used in my other data set but in which Stata reg3 dropped the constern term when I inclde the full year dummies (8year-1year dummies). Why it is reported for one data set but not the others? 
 
I need your help even if it will necessitate giving you more information about my data or research if that can help solve my problem.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=======================================

 		 	   		  
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