Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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 10:04:05 +0530 |

I sent that out a little prematurely -- you need to add a -by()- option since you want a parameter for each panel. *----------------------------------------------------------------- set matsize 9000 webuse nlswork, clear xtset idcode year xtreg ln_w L.ln_w age ttl_exp L.ttl_exp c.ttl_exp#i.collgrad , fe margins, expression(_b[ttl_exp]*collgrad) by(idcode) *----------------------------------------------------------------- T On Mon, Oct 8, 2012 at 9:54 AM, Tirthankar Chakravarty <tirthankar.lists@gmail.com> wrote: > 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/

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

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

- Prev by Date:
**Re: st: How to estimate standard error of panel variant coefficient** - Next by Date:
**RE: st: Is there a similar command as roccomp for comparing two kaplan-meier curves?** - Previous by thread:
**Re: st: How to estimate standard error of panel variant coefficient** - Index(es):