You include an -if- statement in you xtreg command, but not in your counting
command, so groupsize may be >=4, but there may not be 4 observations that
meet the piv criteria. You may want to change you group size calc to:
egen group_size=sum(piv>=1 & piv<50), by(permno)
Michael Blasnik
[email protected]
----- Original Message -----
From: "M. Douglas Berg" <[email protected]>
To: <[email protected]>
Sent: Wednesday, September 29, 2004 10:39 AM
Subject: st: xtreg reports a range of obs per group that I don't understand
> Hello,
>
> I am using xtreg to estimate the relationship between market price "p"
> and a computed intrinsic value "iv". The data is organized by company
> identifier "permno" and year "yr". The variable "piv" is the ratio of
> "p" divided by "iv". I create a variable called group_size to represent
> the number of observations per permno. I then drop observations where
> group_size is less than 4. In other words I want each company in my
> dataset to have at least 4 years worth of data. When I do
> xtreg p iv if piv>=1 & piv<50, re
> the output reports that the minimum number of observations per group is
> 1. I was expecting that this number should be 4 or greater. Could
> someone please explain?
> I include part of the log file below.
>
> Thanks for any help you may provide.
>
> Doug Berg
>
> --------------------------------------------------------------------------
-----------------------
> use astockdata.dta, clear
>
> .
> . tsset permno yr
> panel variable: permno, 10001 to 93113
> time variable: yr, 1968 to 2002, but with gaps
> . /* Create a group size variable. Drop permno groups where there are
> fewer than 4 observat
> > ions. */
> . gen group_size=0
>
> .
> . by permno: replace group_size=_N
> (51463 real changes made)
>
> .
> . drop if group_size < 4
> (4347 observations deleted)
>
> . /* Performing the Hausman test */
> .
> . xtreg p iv if piv>=1 & piv<50, re
>
> Random-effects GLS regression Number of obs =
> 34147
> Group variable (i): permno Number of groups
> = 4074
>
> R-sq: within = 0.1542 Obs per group: min
> = 1
> between = 0.4861 avg
> = 8.4
> overall = 0.3070 max
> = 30
>
> Random effects u_i ~ Gaussian Wald chi2(1) =
> 8031.61
> corr(u_i, X) = 0 (assumed) Prob > chi2 =
> 0.0000
>
> --------------------------------------------------------------------------
----
> p | Coef. Std. Err. z P>|z| [95% Conf.
> Interval]
> -------------+------------------------------------------------------------
----
> iv | .8689448 .009696 89.62 0.000 .849941
> .8879485
> _cons | 17.02923 .2104142 80.93 0.000 16.61682
> 17.44163
> -------------+------------------------------------------------------------
----
> sigma_u | 10.679944
> sigma_e | 14.693601
> rho | .34567866 (fraction of variance due to u_i)
> --------------------------------------------------------------------------
----
>
<snip>
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