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

To |
<[email protected]> |

Subject |
st: RE: e(sample) after xtivreg2 |

Date |
Tue, 12 Apr 2011 14:06:19 +0100 |

```
Chris,
To answer your specific question below:
> Can someone explain what is going on here? Is xtivreg2 actually using
> the 172 observations or not?
-xtivreg2- includes the 172 singletons in e(sample). But of course the
FE (or FD) transformation effectively wipes these out, because there's
no within-group variation when there's only one observation in the
group. -xtivreg2- warns about this.
-xtreg- also does not - cannot! - use singletons to estimate the slope
coefficients with the FE estimator. However, -xtreg- reports a constant
term, and if I'm not mistaken, it *does* use the singletons for
estimating that.
I hope this clarifies things.
Cheers,
Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Chris Parker
> Sent: Tuesday, April 12, 2011 12:52 PM
> To: [email protected]
> Subject: st: e(sample) after xtivreg2
>
> 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]
> *
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>
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```

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