When using -xtregar, fe- the first observation of each group is dropped.
See [XT] Cross-Sectional Time-series, page 222.
Scott
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of R.E. De Hoyos
Sent: Wednesday, May 19, 2004 6:02 PM
To: [email protected]
Cc: Mark Schaffer
Subject: Re: st: Fixed effects and e(sample)
Mark,
Appended you will find a copy of our output.
I appreciate all your help.
Rafa
xtregar polity2 PPPopenness , re
RE GLS regression with AR(1) disturbances Number of obs =
702
Group variable (i): cty1 Number of groups =
37
R-sq: within = 0.0030 Obs per group: min =
2
between = 0.5743 avg =
19.0
overall = 0.3051 max =
24
Wald chi2(2) =
1.57
corr(u_i, Xb) = 0 (assumed) Prob > chi2 =
0.4558
------------------- theta --------------------
min 5% median 95% max
0.5547 0.5952 0.6532 0.6577 0.6577
----------------------------------------------------------------------------
--
polity2 | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
PPPopenness | .0136209 .0108653 1.25 0.210 -.0076747
0349165
_cons | 1.957344 .980394 2.00 0.046 .0358073
3.878881
-------------+--------------------------------------------------------------
--
rho_ar | .84057188 (estimated autocorrelation coefficient)
sigma_u | 5.4429879
sigma_e | 1.8583632
rho_fov | .89559999 (fraction of variance due to u_i)
----------------------------------------------------------------------------
--
xtregar polity2 PPPopenness , fe
FE (within) regression with AR(1) disturbances Number of obs =
665
Group variable (i): cty1 Number of groups =
37
R-sq: within = 0.0003 Obs per group: min =
1
between = 0.5348 avg =
18.0
overall = 0.3204 max =
23
F(1,627) =
0.22
corr(u_i, Xb) = 0.6142 Prob > F =
0.6407
----------------------------------------------------------------------------
--
polity2 | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
PPPopenness | .0053465 .0114505 0.47 0.641 -.0171395
0278326
_cons | 2.181906 .0781426 27.92 0.000 2.028453
2.335359
-------------+--------------------------------------------------------------
--
rho_ar | .84057188
sigma_u | 6.6058579
sigma_e | 1.8267237
rho_fov | .92896283 (fraction of variance due to u_i)
----------------------------------------------------------------------------
--
F test that all u_i=0: F(36,627) = 6.67 Prob > F =
0.0000
. which xtregar
I:\W5\STATA\ado\updates\x\xtregar.ado
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