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From |
Chris Parker <[email protected]> |

To |
[email protected] |

Subject |
st: e(sample) after xtivreg2 |

Date |
Tue, 12 Apr 2011 12:51:56 +0100 |

Hello statalist, I am using xtivreg2 from ssc to perform two-way error clustering. However I would also like to look at the iid errors as well. I've noticed that xtreg is faster that xtivreg2 so I wanted to calculate the iid errors using xtreg and then use xtivreg2 only to calculate the two-way clustered errors. . xtreg highprice volume, fe Fixed-effects (within) regression Number of obs = 1845327 Group variable: cropstat~tid Number of groups = 8825 R-sq: within = 0.0005 Obs per group: min = 1 between = 0.0006 avg = 209.1 overall = 0.0000 max = 873 F(1,1836501) = 852.88 corr(u_i, Xb) = -0.0140 Prob > F = 0.0000 ------------------------------------------------------------------------------ highprice | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- volume | -.0037862 .0001296 -29.20 0.000 -.0040403 -.0035321 _cons | 1595.633 .4527128 3524.60 0.000 1594.745 1596.52 -------------+---------------------------------------------------------------- sigma_u | 3092.7207 sigma_e | 602.9378 rho | .96338464 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(8824, 1836501) = 1758.26 Prob > F = 0.0000 r; t=28.67 12:32:57 Which, on my four core license takes 28.67 seconds and uses 1,845,327 observations. Now when I run the same regression using xtivreg2 I am issued a warning that singleton groups are detected and 172 observations will not be used: . xtivreg2 highprice volume, fe Warning - singleton groups detected. 172 observation(s) not used. FIXED EFFECTS ESTIMATION ------------------------ Number of groups = 8653 Obs per group: min = 2 avg = 213.2 max = 873 OLS estimation -------------- Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only Number of obs = 1845155 F( 1,1836501) = 852.88 Prob > F = 0.0000 Total (centered) SS = 6.67941e+11 Centered R2 = 0.0005 Total (uncentered) SS = 6.67941e+11 Uncentered R2 = 0.0005 Residual SS = 6.67631e+11 Root MSE = 602.9 ------------------------------------------------------------------------------ highprice | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- volume | -.0037862 .0001296 -29.20 0.000 -.0040403 -.0035321 ------------------------------------------------------------------------------ Included instruments: volume ------------------------------------------------------------------------------ r; t=50.46 12:34:19 Just a note that this does in fact take longer, 50.46 seconds. Also, the 172 observations are not included in the regression as noted by number of obs. I thought it would be best to look at the xtreg regression without the 172 observations. So I attempted to run the xtreg regression with the sample from xtivreg2 only to find that all of the observations are included in the sample from xtivreg2. . gen mysample = e(sample) r; t=0.20 12:35:04 . tab mysample mysample | Freq. Percent Cum. ------------+----------------------------------- 1 | 1,845,327 100.00 100.00 ------------+----------------------------------- Total | 1,845,327 100.00 r; t=0.56 12:35:07 Can someone explain what is going on here? Is xtivreg2 actually using the 172 observations or not? My plan is to drop the singleton groups. However, I am running regressions with different groups of independent variables with missing observations. This could potentially create singleton groups again. Is there a way to make xtreg ignore the singleton groups automatically as well? Additionally, does anyone know of a command that will let me calculate the two-way clustered errors after xtreg? I don't really see the point in running the same regression again just to cluster the errors differently but short of coding the two-way clustered errors myself I don't know how else to do this. Chris Chris Parker ________________________________ PhD Candidate | Management Science & Operations London Business School | Regent's Park | London NW1 4SA | United Kingdom Direct line +44 (0)20 7000 8816 | Email [email protected] * * 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/

**Follow-Ups**:**st: RE: e(sample) after xtivreg2***From:*"Schaffer, Mark E" <[email protected]>

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