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Re: st: RE: problems with conducting OLS-PCSE analysis


From   Edward James <ej111005@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: problems with conducting OLS-PCSE analysis
Date   Thu, 19 Jan 2012 09:37:26 +0900

Thanks, Hughes and Nick.
I will try to find a solution following your guidance.


2012/1/17 Gordon Hughes <G.A.Hughes@ed.ac.uk>:
> There are two separate problems with what you are trying to do:
>
> A.  There are no time periods (years) for which data is available for all
> countries.  Hence, using casewise inclusion/deletion means that you cannot
> construct the cross-country error covariance matrix.  Specify the options
> "pairwise"  or "hetonly" to address this - see the manual for information on
> the different options.
>
> B.  As David Jacobs points out, autocorrelation routines don't like gaps in
> data.  His suggestion of imputing or interpolating missing years will work
> if there are only a few gaps, especially if there are strong time trends in
> the country time series.  Alternatively, suppress the calculation of the
> autocorrelation coefficient by specifying the option "corr(independent)".
>
> However, as always you should think carefully about the specification of
> your model.  It seems possible that you are trying to estimate a model that
> is too complex given the nature of your data.
>
> Gordon Hughes
> g.a.hughes@ed.ac.uk
>
> =======================================
>
> Date: Mon, 16 Jan 2012 20:54:01 +0000
> From: "Jacobs, David" <jacobs.184@sociology.osu.edu>
> Subject: st: RE: problems with conducting OLS-PCSE analysis
>
> As you probably already know, you have missing values or gaps within various
> series included in your models.
>
> Some obvious tricks to determine where these missing values are located
> include running the command -xtdescribe if e(sample)- immediately after an
> -xtpcse- run. That will show you what the exact pattern of gaps is. Another
> possibility that will provide more detail is to type ".browse if e(sample)"
> again immediately after a run. The last command works best if you have only
> a few explanatory variables in your model as it will show the entire data
> set the xtpcse routine could access.
>
> In general and as you probably already know AR(1) routines don't like gaps
> within a series and you seem to have that problem. One possibility is to
> employ Stata's commands that impute missing data to overcome these
> difficulties.
>
> D. Jacobs
>
> - -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Edward James
> Sent: Monday, January 16, 2012 9:33 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: problems with conducting OLS-PCSE analysis
>
> Dear Statalist.
>
> I am currently conducting ols-pcse(pannel corrected standard error) with
> stata.
>
> Although the number of groups(countries) are 19, the result shows only
> 16 groups.
>
> In addition, when I conduct different model, following error message comes
> up:
>
> "Number of gaps in sample: 40
> (note: computations for rho restarted at each gap)
> (note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])
> no time periods are common to all panels, cannot estimate disturbance
> covariance matrix using casewise inclusion"
>
> Do you have any idea for including all countries?
>
> Thanks.
> *
>
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