Re: st: RE: fixed, random effects

[Raphael Schoenle <schoenle@Princeton.EDU>]

Hi Scott,

I just tried to run the example you sent me- does it work on your  
computer? (i have stata se/8.2) I get an error message as below.
Thank you very much for the valuable hint!

Best,

Raphael

Here is what I get:

.  webuse grunfeld, clear

.
.  areg invest mvalue [aw = kstock], ab(com)

                                                       Number of obs =   
   200
                                                       F(  1,   189) =   
327.94
                                                       Prob > F      =   
0.0000
                                                       R-squared     =   
0.9082
                                                       Adj R-squared =   
0.9033
                                                       Root MSE      =   
120.16

------------------------------------------------------------------------ 
------
      invest |      Coef.   Std. Err.      t    P>|t|     [95% Conf.  
Interval]
------------- 
+----------------------------------------------------------------
      mvalue |   .2971024   .0164063    18.11   0.000     .2647394     
.3294654
       _cons |  -226.6022   30.39757    -7.45   0.000    -286.5643    
-166.6401
------------- 
+----------------------------------------------------------------
     company |         F(9, 189) =     18.251   0.000          (10  
categories)

.
.  rfregk invest mvalue [aw = kstock]
invalid syntax
r(198);

end of do-file
r(198);


On Nov 28, 2005, at 8:50 AM, Scott Merryman wrote:


> For fixed effects with weights you could use -areg- and for random  
> effects
> you could use Kevin McKinney's -rfregk-
>
>  webuse grunfeld, clear
>
>  areg invest mvalue [aw = kstock], ab(com)
>
>  rfregk invest mvalue [aw = kstock]
>
>
> Hope this helps,
> Scott
>
> ________________________________________
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Raphael  
> Schoenle
> Sent: Sunday, November 27, 2005 10:18 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: fixed, random effects
>
> Hi everyone,
>
>
> I have tried to solve a simple problem for days but I can't figure out  
> how
> to run it properly in Stata. If someone could give me a hint, this  
> would be
> really great.
>
> Basically, I want to run a standard fixed, and random effects  
> regression
> (xtreg in STATA) but with _variable_ weights (they correspond to  
> changing
> industry shares in the market).
>
> So, for the random effects I tried gllamm but always get an error  
> message of
> insufficient observations when I try to use weights.
>
> Here is what I do:
>
> sort ind7090
> gllamm dsc dperc dcomp, i(ind7090) pw(wt)
>
> any ideas what goes wrong?
>
> (if there are no weights, then we just get the xtreg dsc dperc dcomp,  
> fe
> results.)
>
> Best,
>
> -Raphael
>
>
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