Bookmark and Share

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]

Re: st: RE: decomposition with fixed effects model


From   Megan Sheahan <[email protected]>
To   [email protected]
Subject   Re: st: RE: decomposition with fixed effects model
Date   Fri, 7 Feb 2014 17:50:24 -0500

Thanks very much for your help, Mark. "Demeaning" the variables worked
perfectly for what I needed.

All the best,
Megan

On Fri, Feb 7, 2014 at 9:22 AM, Schaffer, Mark E <[email protected]> wrote:
> Megan,
>
>> -----Original Message-----
>> From: [email protected] [mailto:owner-
>> [email protected]] On Behalf Of Megan Sheahan
>> Sent: 06 February 2014 20:03
>> To: [email protected]
>> Subject: st: decomposition with fixed effects model
>>
>> Hello,
>>
>> I am interested to know if any Stata or user-written command allows me to
>> decompose r-squared when using a fixed effects regression model.
>>
>> Here is the simple model I run: xtreg y x1 x2 x3, fe
>>
>> I would like to know the contribution of each of the variables -- x1, x2, and x3 --
>> in explaining the expected variance of y.
>>
>> With a standard OLS regression, I've been able to use the use-written command
>> "rego," which calculates Shapley values.
>>
>> A simple model like this: reg y x1 x2 x3
>>
>> Can be decomposed like this: rego y x1 \ x2 \ x3
>>
>> This command does not seem compatible with fixed effects estimation.
>> Any suggestions for doing something similar with a fixed effects model would
>> be most useful.
>
> Do you need to know the contribution of the fixed effects?
>
> If the answer is yes, then presumably you can just include them by hand as dummy variables.
>
> If the answer is no, then you can partial out the fixed effects by demeaning all your variables (i.e., demean them - Ben Jann's -center- is a handy way of doing this).  Then use rego on the demeaned variables.
>
> HTH,
> Mark
>
>>
>> Many thanks in advance,
>> Megan
>> *
>> *   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/
>
>
> -----
> Sunday Times Scottish University of the Year 2011-2013
> Top in the UK for student experience
> Fourth university in the UK and top in Scotland (National Student Survey 2012)
>
>
> We invite research leaders and ambitious early career researchers to
> join us in leading and driving research in key inter-disciplinary themes.
> Please see www.hw.ac.uk/researchleaders for further information and how
> to apply.
>
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
> *
> *   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/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index