Package -xtfevd- from http://www.polsci.org/pluemper may help. It is a module to estimate time-invariant and rarely changing variables in panel data models with fixed effects.
Nicola
At 02.33 05/10/2007 -0400, "Ivan Etzo" wrote:
>Hi,
>
>I'd like to test a basic form of my model (panel T=3D7 N=3D380) with= one regressor that is time invariant and two regressors that have low wi= thin variance with the following percentage
>
>Y: 15%
>X1: 0.6%
>X2:0.6%
>X3:0
>
>hausman test rejects the RE model (using -xtreg-) so I cannot estima= te the model with the time invariant regressor that for me it's very impo= rtant.
>
>I tried the -xtfmb- which is an implementation of the Fama and MacBe= th (1973) two step procedure, I report the very clear description of the = command from the help
>
>-xtfmb- "is an implementation of the Fama and MacBeth (1973) two ste= p procedure. The procedure is
> as follows: In the fi= rst step, for each single time period a cross-sectional regression is
>= performed. Then, in the second step, the final coeffic= ient estimates are obtained as the
> average of the f= irst step coefficient estimates."
>
>The coefficient I obtain from this procedure are practically the sam= e with the RE model.. I attached the results below. I wonder whethe= r the -xtfmb- produces inconsistent estimates as well.. any help would be= very appreciated.
>
>Ivan
>
>Random-effects GLS regression = ;Number of obs =3D 2660
>Group varia= ble (i): region Number of groups =3D 380
>
>R-sq: within =3D 0.0097 Obs per group: min =3D = 7
>between =3D 0.8153 avg =3D 7.0
>overall =3D 0.= 7953 max =3D 7
>
>Random effects u_i ~ Gaussian Wald chi2(3) &nbs=
>p; =3D 1665.29
>corr(u_i, X) =3D 0 (assumed= ) Prob > chi2 =3D = 0.0000
>
>
>lnmig | Coef. Std. Err. = z P>|z| [95% Conf. Inte= rval]
>
>lndpop | .9560363 .033868= 9 28.23 0.000 .8896544 1.02= 2418
>lnopop | 1.023108 .0338689 30.21 = ; 0.000 .9567262 1.08949
>lndist | -.= 3231335 .0587596 -5.50 0.000 &nbs=
>p; -.4383002 -.2079668
>_cons | -21.17337 .= 799259 -26.49 0.000 -22.73989 -19= =2E60685
>
>sigma_u | .68680964
>sigma_e |&n=
>bsp;.27499318
>rho | .86183578 (fraction of varia= nce due to u_i)
>
>
>
>Fama-MacBeth (1973) Two-Step procedure&nbs=
>p;Number of obs =3D 2660
> Num.= time periods =3D 7
> F( 3, &nbs=
>p; 6) =3D 11189.96
> Prob > = F =3D 0.0000 avg. R-squared =3D 0.7962
> &=
>nbsp;
> | &nb=
>sp; Fama-MacBeth
>lnmig | = ; Coef. Std. Err. t P>|= t| [95% Conf. Interval]
> = ;
>lndpop | .9552167 .0101939 &=
>nbsp; 93.70 0.000 .9302731 .9801604
>= lnopop | 1.017995 .0061794 164.7= 4 0.000 1.002874 1.033115
>lndist&nbs=
>p;| -.3232731 .0117134 -27.60 0.000&nb=
>sp; -.3519349 -.2946114
>_cons | -21.08686&=
>nbsp; .1716352 -122.86 0.000 -21.50683= -20.66688
>
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