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From | Chris Parker <cparker.phd2007@london.edu> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: RE: e(sample) after xtivreg2 |
Date | Tue, 12 Apr 2011 15:37:33 +0100 |
Interesting analysis, Austin. Thanks to everyone who helped me work through this issue! 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 cparker.phd2007@london.edu On Tue, Apr 12, 2011 at 3:26 PM, Austin Nichols <austinnichols@gmail.com> wrote: > > So I answered my own question by experiment: the singletons are > excluded by both -xtreg- and -xtivreg2- for FE estimates of coefs, but > included for the constant term reported by -xtreg- and also affect the > F-test that all u_i are zero which seems questionable at best for most > applications. So I would recommend Chris exclude the singletons with > an -if- qualifier e.g. > > webuse grunfeld, clear > replace mval=. if (com>8)&(time!=10) > qui xtreg mval inv, fe > g byte s=e(sample) > egen c=sum(s), by(company) > xtreg mval inv if c>1, fe > > On Tue, Apr 12, 2011 at 9:48 AM, Austin Nichols <austinnichols@gmail.com> wrote: > > Chris: > > See also e.g. http://www.stata.com/statalist/archive/2008-11/msg00260.html > > > > Mark: > > Are the singletons used in calculating SEs? > > I.e. is the variation around the group mean (=zero) in a singleton > > averaged together with other groups to estimate residual variance? > > It is the case that if you estimate a first difference model in a > > bunch of data where the first differences are often zero (suppose the > > X variables change at most once in each panel but there are 20 time > > periods) that the estimated coefficients will be the same as if you > > had restricted to those obs where the difference is nonzero, but the > > standard errors may differ substantially. The difference may matter a > > lot, in terms of radically different inferences drawn, but which set > > of estimates you want depends a bit on your philosophical outlook > > about the residuals. > > > > On Tue, Apr 12, 2011 at 9:26 AM, Chris Parker > > <cparker.phd2007@london.edu> wrote: > >> Mark, > >> > >> Thanks for the clarification. Yes, I agree that singletons cannot be > >> used because the FE wipes them out. I guess I'm just a little confused > >> by xtivreg2 including singletons in e(sample) when they are not used > >> in the regression itself as evidenced by the decrease in number of obs > >> in the output. > >> > >> Chris > >> > >> On Tue, Apr 12, 2011 at 2:06 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote: > >>> 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 > >>> > > > > * > * 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/ > > ______________________________________________________________________ > > This email has been scanned by the MessageLabs Email Security System > on behalf of the London Business School community. > For more information please visit http://www.messagelabs.com/email > ______________________________________________________________________ * * 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/