By the way, Stata 10 lets take you advantage of -xtsur-. Just -findit-
Nicola
P.S. I'll NOT receive/read any email but the Digest.
At 02.33 14/10/2008 -0400, "Thomas Jacobs" wrote:
>Kit,
>
>Thanks very much for the explanation. That was helpful. You were
>certainly correct on the coffee comment. I had already cribbed the
>`eqn' logic from your Modern Econometrics text and run with manually
>generated lags. Using the tsset will be much cleaner. Thanks again.
>
>Tom
>
>On Mon, Oct 13, 2008 at 4:15 PM, Kit Baum <[email protected]> wrote:
>> < >
>> Thomas said:
>>
>> I am trying to use sureg on a dataset of approximately 50 firms with
>> 900 trading days of observations:
>>
>> . xtset
>> panel variable: CompanyNum (strongly balanced)
>> time variable: TradeDateNum, 501 to 1402
>> delta: 1 unit
>>
>> I keep only the necessary variables:
>>
>> . keep TradeDateNum CompanyNum LnRt*
>>
>> and reshape from long to wide for the company specific variables:
>>
>> . reshape wide LnRtFiveYrMid LnRtStock, i(TradeDateNum) j(CompanyNum)
>> (note: j = 1 2 3 4 5 6 8 9 10 11 12 13 14 15 16 17 18 19 20 22 23 24
>> 25 26 27 28 29 30 32 33
>>> 34 35 36 37 38 39 40 41 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57)
>>
>> Data long -> wide
>> -----------------------------------------------------------------------------
>> Number of obs. 47806 -> 902
>> Number of variables 10 -> 113
>> j variable (53 values) CompanyNum -> (dropped)
>> xij variables:
>> LnRtFiveYrMid -> LnRtFiveYrMid1
>> LnRtFiveYrMid2 ... LnRtFiveYrM
>>> id57
>> LnRtStock -> LnRtStock1 LnRtStock2
>> ... LnRtStock57
>> -----------------------------------------------------------------------------
>>
>> I then attempt to execute sureg on my current pooled OLS specification
>> for just two firms:
>>
>> . sureg (LnRtFiveYrMid1 L(1/2).LnRtFiveYrMid1 L(0/4).LnRtCDX LnRtCMT
>> LnRtTED L(0/2).LnRtStoc
>>> k1) (LnRtFiveYrMid2 L(1/2).LnRtFiveYrMid2 L(0/4).LnRtCDX LnRtCMT LnRtTED
>>> L(0/2).LnRtStock2
>>> )
>> variable CompanyNum not found
>>
>> and I get the error CompanyNum (the dropped variable after reshaping
>> to wide) not found. So far, the only way it will run is if I exclude
>> time series operators:
>>
>> . sureg (LnRtFiveYrMid1 LnRtCDX LnRtCMT LnRtTED LnRtStock1)
>> (LnRtFiveYrMid2 LnRtCDX LnRtCMT
>>> LnRtTED LnRtStock2)
>>
>> Seemingly unrelated regression
>> ----------------------------------------------------------------------
>> Equation Obs Parms RMSE "R-sq" chi2 P
>> ----------------------------------------------------------------------
>> LnRtFiveY~d1 887 4 .0453147 0.1464 152.27 0.0000
>> LnRtFiveY~d2 887 4 .0479444 0.0777 74.68 0.0000
>> ----------------------------------------------------------------------
>>
>> ------------------------------------------------------------------------------
>> | Coef. Std. Err. z P>|z| [95% Conf.
>> Interval]
>> -------------+----------------------------------------------------------------
>> LnRtFiveY~d1 |
>> LnRtCDX | .5369359 .054891 9.78 0.000 .4293515
>> .6445204
>> LnRtCMT | -.3181771 .0979303 -3.25 0.001 -.5101169
>> -.1262374
>> LnRtTED | -.0106727 .0188642 -0.57 0.572 -.0476459
>> .0263005
>> LnRtStock1 | .0629164 .1021791 0.62 0.538 -.1373509
>> .2631838
>> _cons | -.0006975 .0015239 -0.46 0.647 -.0036843
>> .0022893
>> -------------+----------------------------------------------------------------
>> LnRtFiveY~d2 |
>> LnRtCDX | .362548 .0568002 6.38 0.000 .2512216
>> .4738745
>> LnRtCMT | -.3034092 .1032472 -2.94 0.003 -.5057699
>> -.1010485
>> LnRtTED | -.0484131 .019944 -2.43 0.015 -.0875027
>> -.0093235
>> LnRtStock2 | -.0617068 .0777801 -0.79 0.428 -.214153
>> .0907394
>> _cons | -.0000496 .0016117 -0.03 0.975 -.0032085
>> .0031093
>> ------------------------------------------------------------------------------
>>
>> Does sureg prevent the use of time series operators? If so, am I best
>> to manually generate all the lags before reshaping or after? Any
>> other suggestions? Thanks.
>>
>>
>>
>> The problem is that -tsset- (or -xtset-) remembers how your original
>> long-format data were defined, in terms of CompanyNum and TradeDateNum.
>> -sureg- is happy to accept timeseries operators, as -help sureg- indicates.
>> But you must after using -reshape- reestablish the -tsset-, which will now
>> be just
>>
>> tsset TradeDateNum
>>
>> as what you have now is a pure timeseries dataset. Then you should be able
>> to give the -sureg- command.
>>
>> As you have 57 equations to specify, I suggest you use a -local- and a
>> -forvalues- loop over company numbers to build up the equation list.
>> For instance, as a simplified example,
>>
>> local eqlist
>> forv i = 1/57 {
>> local eqlist "`eqlist' (LnRtFiveYrMid`i' LnRtCDX LnRtCMT LnRtTED
>> LnRtStock`i')"
>> }
>>
>> Just make sure you never use an equals sign in this local statement. You can
>> then say
>>
>> sureg `eqlist'
>>
>> and go have a cup of coffee.
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