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st: panel data regression - number of observations

From   "Braunfels, Philipp (Stud. SBE / Alumni)" <>
To   "" <>
Subject   st: panel data regression - number of observations
Date   Fri, 22 Jun 2012 12:56:12 +0200

Dear all, 

I have a large panel dataset, covering 10 years of monthly data. One of my variables is stock return for which I have approximately 3000 companies. However, the return observations are not complete for all 3000 companies (some just have 2 or 5 years of data e.g.). In this respect I would have two questions:

1) if I run a panel-regression, does stata automatically exclude all companies for which the return data are not complete? (e.g. I regress years 1990-2000 and for 500 companies the data from 1990-1993 are missing. Are these companies completely excluded from the analysis?) If stata does not exclude observations (companies) with an insufficient number of values (returns over time) how can I account for this (maybe using sth. <xtreg y x1 x2 x3 if time==124, fe> - where 124 are monthly observations for the 10 years I cover?

2) The hausman test predicts that I should use FE. The output gives me three values for R-square (between, within, overall). But when I use the command <estimates table output, stats(r2)> I am given a different R-square than those reported in the <xtreg,fe> output. So where does the <estimates table output, stats(r2)> come from (I also run an <areg> regression and this R-square differs as well!)

I am very thankful for any time and effort for answering my questions.
Kind regards!
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