st: RE: Problem with areg, xtreg, xtivreg2 for Fixed-effects model

["Steven Stillman" <steven@thestillmans.org>]

You need to read the documentation for xtivreg2 more carefully.

This command drops singleton groups from the number of observations, which
is why you get a different number than xtreg and areg.  These observations
are not used in any of these estimation procedures, except to get an overall
constant for the model, which is why all the coefficient estimates are the
same, but are included in the number of observations in official stata
commands.

By default, xtivreg2 displays standard errors without a small sample
adjustment, which is appropriate for IV estimates.  Since you do not have
any endogenous variables, use the small option to get correct standard
errors that will match those from areg and xtreg.

If you look at the sigma formulas in the stata manual under xtreg, you
should be able to create these using the information saved by xtivreg2.

Cheers,
Steve

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of
weiwei@sas.upenn.edu
Sent: Sunday, 29 April 2007 1:51 a.m.
To: statalist@hsphsun2.harvard.edu
Subject: st: Problem with areg, xtreg, xtivreg2 for Fixed-effects model


Hi,
     I am estimating a fixed-effect model. In deciding which command to use,
I
am very struggling with the following problems:
     areg: does not give me a within R2 that does not include the effects of
groups, nor sigma estimates
     xtreg: not allow me to use -aweight-, nor -cluster- to adjust intragroup
correlation (says: insufficient observations)
     xtivreg2: SE and # of observ are different from -areg- and -xtreg- for
the
same model (without including -aweight- and -cluster- that xtreg does not
allow), and no sigma estimates. However, it does give me the R2 I need.

     I am leaning toward using -areg-. With respect to R2, I understand the
difference between areg R2 and xtreg within R2, but could anyone tell me how
to
decide which R2 is more appropriate to use?  My model is for a panel data
with
repeated observations for the same individuals. Therefore, the groups are
individuals. If the within R2 is more relevant, can I just report the one I
got
from xtivreg2 (-xtreg- does not allow me to use -aweight-, nor -cluster-),
disregarding the fact that SE and # of observervation?
     Secondly, if I use -areg-, how can I get the sigma estimation, as I can
get
from a -xtreg- command?
     Thanks in advance for your help!





*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/