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st: Re: panel est with varying coeff over indivs
Only Yong-Seok wants to consider the variation in coefficients over
industries random. For that to work, you would have to satisfy the
usual assumptions about random effects: they must be independently
distributed of X. That may well not be the case.
In a fixed effects context, what you need to do is organize your data
in the long structure, where each block is subscripted ij, and then
define a new counter
egen unit = group(country industry)
Then you can
tsset unit time
To create industry dummies,
tab industry, gen (IND)
Drop one, and interact each of them with X in a forvalues loop
creating x1, x2, ... xg
Then
xtreg y x1-xg , fe
will give you a country-industry fixed effect with an industry-
specific coefficient on X.
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
On Oct 4, 2007, at 2:33 AM, Maarten wrote:
- --- Yong-Seok Choi <[email protected]> wrote:
Could you please help me out in setting the following panel
regression in Stata?
The regression model is
Y_ijt = alpha_ij + beta_j * X_ijt + e_ijt
where i : country j : industry t : time.
That is, alpha_ij is country-industry specific fixed effect and the
coefficient b_j is allowed to vary across industries.
This seems to be a problem for -xtmixed-, see: -help xtmixed-.
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