Thanks, Jeff, that's very clear now.
Sounds like there's room for an FAQ or SJ Stata Tip:
Q: How can I get -suest- to work with xtreg,fe or areg?
A: Demean the variables by hand, use -regress-, and call -suest-
clustering on the panel identifier. When demeaning, be sure to use a
consistently-defined ("centered casewise") sample.
I think I got that right....
--Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Jeff Pitblado, StataCorp LP
> Sent: 13 September 2007 16:39
> To: [email protected]
> Subject: Re: RE: st: suest with large number of fixed effects
>
> Schaffer, Mark E <[email protected]> quoted a post I made
> regarding -areg- after -suest-:
>
> > I had forgotten about Jeff's post. Here is the key extract:
> >
> > "We've recently discovered that -suest- yields incorrect
> results when
> > used after -areg-. This is not something that can easily be fixed
> > given that the meat of the sandwich estimator of variance
> > (Robust/Huber/White VCE) cannot be properly computed due to
> the fact
> > that the coefficient estimates for the absorbed categories
> in -areg-
> > are not present in -e(b)- (and the corresponding indicators are not
> > present in the dataset)."
> >
> > and here's a link to the full post:
> >
> > http://www.stata.com/statalist/archive/2006-06/msg00874.html
> >
> > What puzzles me about Jeff's statement is that absorbing
> > (partialling-out, demeaning, removing through
> first-differencing) the
> > fixed effects is no obstacle to using the
> > sandwich/robust/Huber/White/and-don't-forget-Eicker VCE with other
> > estimators.
> >
> > For example, demeaning and using -regress- with -cluster- generates
> > exactly the same results as -xtreg,fe cluster()- and indeed
> -areg-, as
> > this example shows (again using Ben Jann's -center- command):
> >
> > sort id
> > by id: center ys k n, casewise
> > reg c_ys c_k c_n, cluster(id)
> > xtreg ys k n, i(id) cluster(id) fe
> > areg ys k n, absorb(id) cluster(id)
> >
> > If it's legitimate to use the robust VCE with transformed
> individual
> > equations, shouldn't it also be legitimate to use -suest-
> to combine
> > the equations? The "within-equation" parts of the VCE reported by
> > -suest- will be the same (though maybe with a different and
> > asymptotically uninteresting dof adjustment) as that obtained by
> > estimating the separate equations on their own. -suest- is just
> > adding the "cross-equation" part of the VCE.
> >
> > I'd be very interested in hearing more about this from Jeff
> or anyone
> > else.
>
> Mark is correct regarding the above 'statistical' statements.
>
> -xtreg, fe- and -areg- have the necessary ingredients, namely
> the demeaned dependent and independent variables, on hand at
> the moment they compute the clustered-robust VCE.
>
> Unfortunately -suest- does not have these ingredients, it
> only has the dataset currently in memory and the information
> stored in -e()-.
>
> The point of my original post was to say that making -suest-
> work properly after -areg- was going to require adding some
> special code to -suest- that will only be useful for results
> from -areg-.
>
> For the time being we decided to prevent -suest- from working
> with -areg-s results; we can always revisit this issue in the future.
>
> --Jeff
> [email protected]
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