Dear Statalist,
I need to run a two-step regression similar to the fixed effect model.
(Xtreg, fe).
I first replicate the fixed effect results by running pooled OLS with
demeaned variables (demean by groups). Yet, I got same coefficients, but
relative larger t statistics.
I attached the results for the two approaches as follows. Any suggestion
will be appreciated.
Thanks,
Alice
---------------------------------------------------------------------
. regress dqratios ddiv_bkrgs ddiv_bkpts dsizes dwlvgs debitdags dtos
Source | SS df MS Number of obs =
839
-------------+------------------------------ F( 6, 832) =
5.71
Model | 9.47964286 6 1.57994048 Prob > F =
0.0000
Residual | 230.110177 832 .276574732 R-squared =
0.0396
-------------+------------------------------ Adj R-squared =
0.0326
Total | 239.58982 838 .285906706 Root MSE =
.5259
----------------------------------------------------------------------------
--
dqratios | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
ddiv_bkrgs | -.0790218 .0611639 -1.29 0.197 -.1990756
.0410319
ddiv_bkpts | .1574348 .0536925 2.93 0.003 .0520462
.2628235
dsizes | .2569522 .0672621 3.82 0.000 .1249289
.3889755
dwlvgs | -.0851709 .0287239 -2.97
0.003 -.1415507 -.0287911
debitdags | .0556536 .0272819 2.04 0.042 .0021041
.1092031
dtos | -.0469219 .0285672 -1.64 0.101 -.1029942
.0091505
_cons | -1.21e-09 .0181562 -0.00 1.000 -.0356374
.0356374
----------------------------------------------------------------------------
--
. xtreg qratios div_bkrgs div_bkpts sizes wlvgs ebitdags tos, fe
Fixed-effects (within) regression Number of obs =
839
Group variable (i) : permno Number of groups =
142
R-sq: within = 0.0396 Obs per group: min =
1
between = 0.0375 avg =
5.9
overall = 0.0466 max =
9
F(6,691) =
4.74
corr(u_i, Xb) = -0.1086 Prob > F =
0.0001
----------------------------------------------------------------------------
--
qratios | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
div_bkrgs | -.0790218 .0671148 -1.18 0.239 -.2107952
.0527515
div_bkpts | .1574349 .0589164 2.67 0.008 .0417582
.2731115
sizes | .2569522 .0738062 3.48 0.001 .1120409
.4018635
wlvgs | -.0851709 .0315185 -2.70
0.007 -.1470545 -.0232873
ebitdags | .0556536 .0299363 1.86 0.063 -.0031234
.1144305
tos | -.0469219 .0313466 -1.50 0.135 -.1084679
.0146242
_cons | -5.08e-10 .0199227 -0.00 1.000 -.0391163
.0391163
-------------+--------------------------------------------------------------
--
sigma_u | .9147399
sigma_e | .57707052
rho | .71531722 (fraction of variance due to u_i)
----------------------------------------------------------------------------
--
F test that all u_i=0: F(141, 691) = 10.99 Prob > F =
0.0000
----------------------------------------------------------------------------
------
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