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st: Missing F statistics.
From
natasha agarwal <[email protected]>
To
[email protected]
Subject
st: Missing F statistics.
Date
Tue, 22 Jun 2010 12:46:39 +0100
Dear Everyone,
I am trying to estimate an augmented production using a within
estimator on an unbalanced panel data. Panel Identifier in my case is
a firm.
When I cluster at the industry level, I get a missing F statistics.
where fs1fs10 is an interaction term of FDI in that industry with an
industry dummy (lnvfdi*i1). The same is done for all the 10 industries
in the dataset
xtreg lnrval lnk lnw lnvfdi fs1 fs3-fs10 y14-y18, fe vce(cluster indm)
Fixed-effects (within) regression Number of obs = 6147
Group variable: number Number of groups = 1609
R-sq: within = 0.5130 Obs per group: min = 1
between = 0.2057 avg = 3.8
overall = 0.2103 max = 5
F(6,9) = .
corr(u_i, Xb) = -0.7352 Prob > F = .
(Std. Err. adjusted for 10 clusters in indm)
------------------------------------------------------------------------------
| Robust
lnrval | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lnk | .2022405 .0217397 9.30 0.000 .1530619 .251419
lnw | .7147967 .0178031 40.15 0.000 .6745233 .7550701
lnvfdi | .1595684 .0414696 3.85 0.004 .0657577 .2533791
fs1 | -.500915 .0377129 -13.28 0.000 -.5862277 -.4156024
fs2 | -.1892681 .02731 -6.93 0.000 -.2510477 -.1274886
fs4 | -.0979289 .0794079 -1.23 0.249 -.277562 .0817043
fs5 | -.1276782 .0345498 -3.70 0.005 -.2058353 -.0495212
fs6 | -.1352529 .0165971 -8.15 0.000 -.1727981 -.0977077
fs7 | -.2112656 .0191332 -11.04 0.000 -.2545478 -.1679833
fs8 | .2629032 .0671154 3.92 0.004 .1110776 .4147287
fs9 | .0308106 .0489407 0.63 0.545 -.0799009 .1415222
fs10 | -.2493683 .0194207 -12.84 0.000 -.2933011 -.2054355
y14 | -.1692296 .0617547 -2.74 0.023 -.3089283 -.0295308
y15 | -.0790967 .0418282 -1.89 0.091 -.1737186 .0155253
y16 | -.067962 .0334897 -2.03 0.073 -.1437211 .0077971
y17 | -.1063753 .0221839 -4.80 0.001 -.1565587 -.0561919
y18 | (dropped)
_cons | -.7143403 .6204304 -1.15 0.279 -2.117851 .6891708
-------------+----------------------------------------------------------------
sigma_u | 1.4145653
sigma_e | .38918461
rho | .92963183 (fraction of variance due to u_i)
------------------------------------------------------------------------------
When I cluster it at the firm level, it works fine.
Fixed-effects (within) regression Number of obs = 6147
Group variable: number Number of groups = 1609
R-sq: within = 0.5130 Obs per group: min = 1
between = 0.2057 avg = 3.8
overall = 0.2103 max = 5
F(16,1608) = 155.17
corr(u_i, Xb) = -0.7352 Prob > F = 0.0000
(Std. Err. adjusted for 1609 clusters in number)
Robust
lnrval Coef. Std. Err. t P>t [95% Conf. Interval]
lnk .2022405 .0190487 10.62 0.000 .1648776 .2396033
lnw .7147967 .0259381 27.56 0.000 .6639206 .7656728
lnvfdi .1595684 .1151602 1.39 0.166 -.0663116 .3854483
fs1 -.500915 .3712889 -1.35 0.177 -1.229176 .2273461
fs2 -.1892681 .1189724 -1.59 0.112 -.4226254 .0440892
fs4 -.0979289 .1353951 -0.72 0.470 -.3634983 .1676406
fs5 -.1276782 .1347357 -0.95 0.343 -.3919543 .1365979
fs6 -.1352529 .117889 -1.15 0.251 -.3664851 .0959794
fs7 -.2112656 .1401514 -1.51 0.132 -.4861641 .063633
fs8 .2629032 .1889839 1.39 0.164 -.1077774 .6335838
fs9 .0308106 .153413 0.20 0.841 -.2700999 .3317212
fs10 -.2493683 .1234036 -2.02 0.043 -.4914171 -.0073195
y14 -.1692296 .036587 -4.63 0.000 -.2409928 -.0974664
y15 -.0790967 .026678 -2.96 0.003 -.131424 -.0267693
y16 -.067962 .0189171 -3.59 0.000 -.1050667 -.0308573
y17 -.1063753 .0154075 -6.90 0.000 -.1365962 -.0761544
y18 (dropped)
_cons -.7143403 .4764399 -1.50 0.134 -1.648849 .2201682
sigma_u 1.4145653
sigma_e .38918461
rho .92963183 (fraction of variance due to u_i)
Can anyone please help me explain why is this happening?
Thanks
Natasha
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