Re: st: FE and groups w/out variation

["Guillaume Frechette" <gurst1@hotmail.com>]

Thanks to Scott and Mark, Scott's answer was about regressors w/out 
variation which is not what I had in mind (my fault, I should have been 
clearer). Mark is closer to what I was asking about, except that in my case 
its not simply singletons (although there are some), but some groups, which 
have more than one observations, have always the same value for their 
dependant variable. BTW my intuition is the same as what Mark expressed. 
I'll now try to track down David's post. Thanks again.

g


> From: Mark Schaffer <M.E.Schaffer@hw.ac.uk>
>
> My recollection is that this was posted by David Drukker (apologies, David, 
> if I'm in correct in
> attributing this to you), and the advice was indeed not to drop singleton 
> groups.
>
> It's not clear to me why you would ever want to drop singleton groups.  A 
> group with one member is
> an observation that still has some information in it.  If you throw away 
> that observation, you're
> throwing away information unnecessarily.
>
> Another way to put it is to consider what happens when you estimate the 
> fixed effects model after
> transforming the data into mean-deviation form, so that all the FEs 
> disappear.  The FE estimation
> is obtained by simple OLS on the transformed data.  After the MD 
> transformation, you can't tell
> just by looking at the data which datapoints are several observations from 
> one group, and which
> datapoints are observations from groups with just one member; in a sense, 
> after the transformation,
> they're all independent observations.  You wouldn't want to throw away 
> observations here, since the
> attribute that distinguishes these obs (they are the sole representatives 
> of their groups) has been
> transformed out of the data.
>
> --Mark
>
> Quoting Guillaume Frechette <gurst1@hotmail.com>:
>
> > Dear Statalisters: I thought I read on the list not so long ago someone 
> who
> > said that when estimating FE one shouldn't drop groups that do not have
> > variation (I looked for it in the archive but couldn't find it). Did I
> > invent this? At any rate, could someone tell me what is the 'best'
> > procedure, keeping all groups or only the ones that have variation, and 
> what
> > is the logic for the answer. I would also appreciate it if someone could
> > point me to a book or article that spells this out in writing.
> >
> > Thanks in advance,
> >
> > g
> >
> >
> >
> >
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>
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS
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