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From |
Tirthankar Chakravarty <tirthankar.lists@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: How to estimate standard error of panel variant coefficient |

Date |
Mon, 8 Oct 2012 09:54:48 +0530 |

Use -margins, expression()- as in this simple example: *----------------------------------------------------------------- webuse nlswork, clear xtset idcode year generate age2 = age^2 generate ttl_exp2 = ttl_exp^2 generate tenure2 = tenure^2 generate byte black = (race==2) xtreg ln_w L.ln_w age ttl_exp L.ttl_exp c.ttl_exp#i.collgrad , fe margins, expression(_b[ttl_exp]*collgrad) // expression of your choice *----------------------------------------------------------------- Note that "collgrad" is a panel invariant variable (Z_i) in this case. T On Mon, Oct 8, 2012 at 7:44 AM, Ram Acharya <acharya.ramc@gmail.com> wrote: > I am working in country and year panel data. The right-hand side > variables include lagged dependent and contemporaneous and lagged X > exogenous variable. I also have an interaction of contemporaneous X > and country component (Zi) which varies by country but not by year. > The model is somewhat like below > > Yit = a + lambda* Yi(t-1) + b1 Xit + b2 Xi(t-1) + b3 Xit* (Zi) > > My interest is in the long run coefficient (theta), which can be computed as > > Theta(i) = [b1 + b2 + b3*(Zi) ] / [1 – lambda] > > Note that theta varies by country. My question is: how to compute > standard error for Theta. If I did not have Zi, and had only two > variables, then I could use Delta method such as below to estimate > both coefficient and se. > nlcom (_b[Xit]+_b[L.xit])/(1-_b[L.Y]) > > It appears to me that I cannot use the same method, as b3 varies by > country depending on the value of Zi. What would be the command in > Stata to estimate standard errors for Theta? > > Thanks in advance for the help. > Ram Acharya > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: How to estimate standard error of panel variant coefficient***From:*Tirthankar Chakravarty <tirthankar.lists@gmail.com>

**References**:**st: How to estimate standard error of panel variant coefficient***From:*Ram Acharya <acharya.ramc@gmail.com>

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