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RE: Antwort: RE: st: why reg3 dropped constant term ?
From
KAMAL MANJU <[email protected]>
To
statalist-for help STATA <[email protected]>
Subject
RE: Antwort: RE: st: why reg3 dropped constant term ?
Date
Tue, 4 Jan 2011 23:49:08 +0800
Thank you all for your responses and valuable suggestions.
I will try your suggestions and will share the results.
In the meanwhile, I still have some difficulty in understating why reg3 did not drop the constant term when I used data set one but drop only when I use the remaining three separate data sets?. Anyway, this could be that I am asking the the same question again but in different ways. Nevertheless this is really a puzzling thing for me.
Below is the output when I use data set one (it is exactly the same specification I used in the other data sets including the one I sent to this list few days ago), I need your comment and advice.
You may look at the problem from another point I think. Is it a technical error in my stata command use? or something else?
Thank you in advance.
==========Stata output started after this line====================
. reg3 (Leverage:d.lvr=l.lvr d.rwar roa llpta lta liq hhi y_2 y_3 y_4 y_5 y_6 y_7 y_8) (Prisk: d.rwar = l.rwar d.lvr llpta liq lta hhi y_2 y_3 y_4 y_5 y
> _6 y_7 y_8),small
Three-stage least-squares regression
----------------------------------------------------------------------
Equation Obs Parms RMSE "R-sq" F-Stat P
----------------------------------------------------------------------
Leverage 281 12 3.762573 0.1994 10.45 0.0000
Prisk 281 11 .0924083 0.0587 4.90 0.0000
----------------------------------------------------------------------
------------------------------------------------------------------------------
| Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
Leverage |
lvr |
L1. | -.2571531 .0304537 -8.44 0.000 -.3169771 -.1973292
rwar |
D1. | 14.8132 6.996703 2.12 0.035 1.068699 28.55769
roa | 1.042571 .1386426 7.52 0.000 .7702178 1.314924
llpta | 40.36117 14.56836 2.77 0.006 11.74272 68.97962
lta | -.3488977 .1331556 -2.62 0.009 -.6104718 -.0873236
liq | 1.587225 .3077869 5.16 0.000 .982601 2.191849
hhi | -.021382 .0117853 -1.81 0.070 -.0445334 .0017693
y_2 | -2.296285 .8223137 -2.79 0.005 -3.911659 -.680912
y_3 | (dropped)
y_4 | .3629929 .887428 0.41 0.683 -1.380293 2.106278
y_5 | -1.220195 .8827569 -1.38 0.167 -2.954304 .513915
y_6 | .0483594 .8939609 0.05 0.957 -1.707759 1.804478
y_7 | 1.583269 .9709947 1.63 0.104 -.3241774 3.490715
y_8 | (dropped)
_cons | 1.653741 .784616 2.11 0.036 .1124221 3.19506
-------------+----------------------------------------------------------------
Prisk |
rwar |
L1. | -.1696178 .0317984 -5.33 0.000 -.2320834 -.1071521
lvr |
D1. | .0070528 .0024415 2.89 0.004 .0022567 .0118489
llpta | -.1530775 .3234974 -0.47 0.636 -.7885638 .4824088
liq | .0085192 .0070835 1.20 0.230 -.0053959 .0224343
lta | .0004697 .0031959 0.15 0.883 -.0058084 .0067479
hhi | .0003831 .0002989 1.28 0.201 -.0002041 .0009702
y_2 | .0205446 .0207591 0.99 0.323 -.020235 .0613242
y_3 | (dropped)
y_4 | -.0236299 .0216929 -1.09 0.277 -.066244 .0189843
y_5 | -.0021247 .0217522 -0.10 0.922 -.0448553 .0406059
y_6 | -.0078243 .0219004 -0.36 0.721 -.0508461 .0351974
y_7 | -.0515464 .0224135 -2.30 0.022 -.0955761 -.0075167
y_8 | (dropped)
_cons | .0882037 .0221066 3.99 0.000 .044777 .1316304
------------------------------------------------------------------------------
Endogenous variables: D.lvr D.rwar
Exogenous variables: L.lvr roa llpta lta liq hhi y_2 y_3 y_4 y_5 y_6 y_7
y_8 L.rwar
------------------------------------------------------------------------------
=============End of Stata Output here above this line=======================================
----------------------------------------
> From: [email protected]
> Subject: re: Antwort: RE: st: why reg3 dropped constant term ?
> Date: Sun, 2 Jan 2011 15:43:19 -0500
> To: [email protected]
>
> <>
> Justina said
>
> estimating for a subsample for which the succedding year is availabe,
> e.g. for 2001- 2005, with data for 2006 available, so that the first
> difference 2005-2006 can be caculated.
>
> This is not how first differences (D. in Stata) work. The first difference in 2005 is defined if you have data for 2004 and 2005. You are never concerned about the succeeding year's data. However, with data for 2001-2005, you can only calculate D. for 2002-2005.
>
> Kit
>
> Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
> An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
> An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
>
>
> *
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