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From |
"Schaffer, Mark E" <[email protected]> |

To |
<[email protected]> |

Subject |
RE: st: RE: Comparing fixed effect regression coefficients between two groups |

Date |
Mon, 17 Jan 2011 19:52:34 -0000 |

Dominik, I was afraid of that ... The reason you get an estimated zero constant when you omit the -nocons- option is because all the groups are centered at zero after the within transformation. (Have a look at any textbook covering panel data.) The constant term that -xtreg,fe- reports always struck me as a strange beast. All the other coefficients use within variation in the data as the identifying variation, but the estimated constant uses between variation. Here's how -xtreg- centers and manipulates the data so that regress generates an estimate of the constant. The example again uses the abdata. ************************************* gen one=1 by id: gen double n_dm = sum(n)/sum(one) summ n by id: replace n_dm = (n - n_dm[_N]) + r(mean) by id: gen double w_dm = sum(w)/sum(one) summ w by id: replace w_dm = (w - w_dm[_N]) + r(mean) reg n_dm w_dm, dof(890) ************************************* But may others want to comment on whether -suest- applied to regressions like the last one here would generate sensible results. --Mark > -----Original Message----- > From: [email protected] > [mailto:[email protected]] On Behalf Of > Dominik Hennen > Sent: 17 January 2011 17:24 > To: [email protected] > Subject: Re: st: RE: Comparing fixed effect regression > coefficients between two groups > > Dear Mark, > thanks very much for the fast reply and the detailed > instructions. I followed your idea, and the approach works > perfectly for the coefficient part (w and c_w) of the fixed > effect model in my data set. I derive the same coefficient > results using xtreg and your approach. However, I am > primarily interested in the constant ( _cons ) of the > equation. In your example this would be 3.16 for the xtreg > command. When I leave out the "nocons" command in your "reg > c_n c_w, dof(890) nocons" regression, the resulting value for > "_cons" is not equal to the one derived from the xtreg > regression. Same situation occurs in my data set(or am I > missing something?) I guess in this case a comparison via > suest doesnt make sense any more. Do you have an idea or a > workaround how I can also compare the _cons values of to > fixed effect models as well? > Thanks again for your help Mark > With best regards > Dominik > > > -------- Original-Nachricht -------- > > Datum: Mon, 17 Jan 2011 14:07:44 -0000 > > Von: "Schaffer, Mark E" <[email protected]> > > An: [email protected] > > Betreff: st: RE: Comparing fixed effect regression coefficients > > between two groups > > > Dominik, > > > > > -----Original Message----- > > > From: [email protected] > > > [mailto:[email protected]] On Behalf > Of Dominik > > > Hennen > > > Sent: 17 January 2011 13:36 > > > To: [email protected] > > > Subject: st: Comparing fixed effect regression > coefficients between > > > two groups > > > > > > Dear all, > > > I have estimated a fixed effect panel regression model for two > > > groups in my data set. In particular I compare high > frequent stock > > > trader with low frequent stock trader. In a second step I want to > > > test if the coefficients, in particular the alpha return (the > > > "constant" in the Carhart four factor model)are significantly > > > different for both groups. The "suest" command does not work for > > > xtreg. An alternative would be to include dummmies, however as I > > > have more than 6000 investors this option doesn't work either. > > > Is there any command/approach to compare coefficients between two > > > groups which were estimated via fixed effects? > > > > If you apply the within transformation (i.e., demean your data) by > > hand, you can obtain the FE coefficients using -regress-. > Ben Jann's > > -center- command (available from ssc archives in the usual > way) is an > > easy way to implement the within transformation. > > > > The vcv, error variance and SEs after using -regress- on > demeaned data > > will be wrong (too small) since the degree of freedom won't > > incorporate the loss of dfs because of the FEs. But if you use the > > undocumented > > -dof- option of -regress-, you can impose the right degrees > of freedom > > on the estimation on the demeaned data. > > > > Here's an example: > > > > ************************************* > > > > webuse abdata, clear > > > > * Note the degrees of freedom = 890 > > xtreg n w, fe > > > > * Apply centering to the same sample > > by id: center n w if e(sample) > > > > * Force dof to be 890 > > reg c_n c_w, dof(890) nocons > > > > ************************************* > > > > Do this for both your FE estimations and then use -suest-, as you > > propose. > > > > HTH, > > Mark > > > > > I highly appreciate your help > > > With best regards > > > Dominik > > > > > > > > > > > > > > > -- > > > Empfehlen Sie GMX DSL Ihren Freunden und Bekannten und > wir belohnen > > > Sie mit bis zu 50,- Euro! https://freundschaftswerbung.gmx.de > > > * > > > * For searches and help try: > > > * http://www.stata.com/help.cgi?search > > > * http://www.stata.com/support/statalist/faq > > > * http://www.ats.ucla.edu/stat/stata/ > > > > > > > > > -- > > Heriot-Watt University is a Scottish charity registered > under charity > > number SC000278. > > > > > > * > > * For searches and help try: > > * http://www.stata.com/help.cgi?search > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > -- > NEU: FreePhone - kostenlos mobil telefonieren und surfen! > > Jetzt informieren: http://www.gmx.net/de/go/freephone > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Comparing fixed effect regression coefficients between two groups***From:*"Dominik Hennen" <[email protected]>

**st: RE: Comparing fixed effect regression coefficients between two groups***From:*"Schaffer, Mark E" <[email protected]>

**Re: st: RE: Comparing fixed effect regression coefficients between two groups***From:*"Dominik Hennen" <[email protected]>

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