Rodrigo,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Rodrigo A. Alfaro
> Sent: 11 July 2006 20:16
> To: [email protected]
> Subject: st: xtivreg2 and singleton-cases
>
> Hello,
>
> I realized that -xtivreg2- controls for singleton-cases. Now
> I am not sure if this involves a different results than
> regular Stata comands.
>
> Below is a program (just copy+paste in an empty do-file)
> where I create artificial data and run some estimation to
> show the differences
I'm travelling and with dodgy email access, so I can only venture a
guess as to part of the explanation.
I see you are using both xt-type commands that suppress the fixed
effects, and -newey-, where you include the fixed effects "by hand".
When estimating fixed effects models, standard and robust (but not
cluster) standard errors need an adjustment for degrees of freedom lost
to the fixed effects. This is done automatically by the xt commands,
but not by newey. This might be part of the explanation.
Cheers,
Mark
> First, a simple Fixed-Effects model estimated using different
> commands (S11, S12, S13 and S14). Easy to see in the first
> table that all parameters as well standard errors are the same.
>
> In the second table I put Robust SE (S21 and S22) and Robust
> SE+ Autocorrelation correction (S31 and S32) and again
> everything is fine.
>
> But, if I restrict the sample (if t<3) I got that the new
> simple FE (R11, R12, R13 and R14) are almost the same (only
> the # of observations is lower in xtivreg2 due to singleton
> cases). A minor difference.
>
> The big one is in last table, where the Robust SE (R21 and
> R22) are not longer similar. Same for Robust SE with
> autocorrelation correction
> (R31 and R32). Funny thing is that R22 is similar to R31!!
>
> Any comment is welcome.
> Rodrigo.
>
>
> ***************************************************
> qui {
> /// Artifical data
> clear
> input id time y x
> 1 1 25 .6
> 1 2 26 .7
> 1 3 27 .8
> 2 1 28 .5
> 2 2 23 .
> 2 3 24 .5
> 3 1 25 .3
> 3 2 26 .7
> 3 3 28 .6
> 3 4 . .5
> 4 1 20 .4
> 4 2 . .6
> 4 3 22 .7
> 4 4 23 .
> end
> tsset id time
>
> /// Set 1
> xtivreg2 y x, fe small
> est store S11
> xtivreg y (x=x), fe small
> est store S12
> xtreg y x, fe
> est store S13
> areg y x, a(id)
> est store S14
>
> /// Set 2
> xtivreg2 y x, fe robust small
> est store S21
> areg y x, a(id) robust
> est store S22
>
> /// Set 3
> xtivreg2 y x, fe bw(2) robust small
> est store S31
> xi: newey y x i.id, lag(1) force
> est store S32
>
> /// Restricted Set 1
> xtivreg2 y x if time<3, fe small
> est store R11
> xtivreg y (x=x) if time<3, fe small
> est store R12
> xtreg y x if time<3, fe
> est store R13
> areg y x if time<3, a(id)
> est store R14
>
> /// Restricted Set 2
> xtivreg2 y x if time<3, fe robust small est store R21 areg
> y x if time<3, a(id) robust est store R22
>
> /// Restricted Set 3
> xtivreg2 y x if time<3, fe bw(2) robust small est store R31
> xi: newey y x i.id if time<3, lag(1) force est store R32 }
>
> est table S1*, se stats(N F) title(Fixed Effects) est table
> S2* S3*, se stats(N F) title(Fixed Effects + Robust SE) est
> table R1*, se stats(N F) title(Fixed Effects & t<3) est table
> R2* R3*, se stats(N F) title(Fixed Effects + Robust SE & t<3)
> *
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> * http://www.ats.ucla.edu/stat/stata/
>
*
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