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st: estimated autocorrelation coefficient changes sign when dummy variables are included
From
Lopa Chakraborti <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: estimated autocorrelation coefficient changes sign when dummy variables are included
Date
Fri, 25 Feb 2011 14:17:48 -0500
Hi,
I am running xtpcse with and without plant level dummy variables. I need some advice on why the estimated autocorrelation coefficient changes sign when dummy variables are included.
thanks much
Lopa
model 1:
. xtpcse lseaavglqavfoia04avglbs2 lagseaavgwqfoia04avg3 lagseaavgflowfoia04avg3 elec food mill paper chem petro rubber leather metal transp secu just rnwhite mhhi carpl manuf popt popu MD PA , hetonly corr(ar1)
Number of gaps in sample: 119
(note: computations for rho restarted at each gap)
(note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])
Prais-Winsten regression, heteroskedastic panels corrected standard errors
Group variable: npid Number of obs = 411
Time variable: seasoncycle Number of groups = 88
Panels: heteroskedastic (unbalanced) Obs per group: min = 2
Autocorrelation: common AR(1) avg = 4.670455
max = 10
Estimated covariances = 88 R-squared = 0.9053
Estimated autocorrelations = 1 Wald chi2(21) = 7309.21
Estimated coefficients = 22 Prob > chi2 = 0.0000
------------------------------------------------------------------------------
| Het-corrected
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lagseaavgw~3 | .0175739 .0096651 1.82 0.069 -.0013695 .0365172
lagseaavgf~3 | .0141308 .0035826 3.94 0.000 .0071089 .0211526
elec | -1.274798 .2237193 -5.70 0.000 -1.713279 -.836316
food | -.7037066 .4622545 -1.52 0.128 -1.609709 .2022955
mill | .1025684 .1902175 0.54 0.590 -.2702511 .475388
paper | 1.753649 .1934481 9.07 0.000 1.374498 2.132801
chem | -1.145819 .2759653 -4.15 0.000 -1.686701 -.6049368
petro | -.6660155 .2932991 -2.27 0.023 -1.240871 -.0911599
rubber | -4.779963 .2134669 -22.39 0.000 -5.19835 -4.361575
leather | -.8598458 .3122449 -2.75 0.006 -1.471834 -.247857
metal | -3.334442 .3719062 -8.97 0.000 -4.063365 -2.60552
transp | (dropped)
secu | -1.785632 .1604453 -11.13 0.000 -2.100099 -1.471165
just | -.6692307 .1983626 -3.37 0.001 -1.058014 -.2804472
rnwhite | .0042574 .0044486 0.96 0.339 -.0044616 .0129765
mhhi | .0220234 .0088036 2.50 0.012 .0047688 .0392781
carpl | .0159484 .015213 1.05 0.294 -.0138686 .0457654
manuf | .000531 .0054583 0.10 0.922 -.0101671 .0112291
popt | .0174839 .0044007 3.97 0.000 .0088586 .0261091
popu | .0032925 .0024354 1.35 0.176 -.0014809 .0080658
MD | -.832088 .1614986 -5.15 0.000 -1.148619 -.5155565
PA | -.2565289 .3490807 -0.73 0.462 -.9407145 .4276567
_cons | 5.353551 .368632 14.52 0.000 4.631045 6.076056
-------------+----------------------------------------------------------------
rho | .7916129
------------------------------------------------------------------------------
model 2:
. xtpcse lseaavglqavfoia04avglbs2 lagseaavgwqfoia04avg3 lagseaavgflowfoia04avg3 elec food mill paper chem petro rubber leather metal transp secu just rnwhite mhhi carpl manuf popt popu MD PA plantdum*, hetonly corr(ar1)
Number of gaps in sample: 119
(note: computations for rho restarted at each gap)
(note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])
Prais-Winsten regression, heteroskedastic panels corrected standard errors
Group variable: npid Number of obs = 411
Time variable: seasoncycle Number of groups = 88
Panels: heteroskedastic (unbalanced) Obs per group: min = 2
Autocorrelation: common AR(1) avg = 4.670455
max = 10
Estimated covariances = 88 R-squared = 0.9822
Estimated autocorrelations = 1 Wald chi2(89) = 1.44e+07
Estimated coefficients = 89 Prob > chi2 = 0.0000
------------------------------------------------------------------------------
| Het-corrected
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lagseaavgw~3 | .0180936 .0071236 2.54 0.011 .0041316 .0320556
lagseaavgf~3 | .0181603 .0008675 20.93 0.000 .01646 .0198607
elec | (dropped)
food | -4.603288 .236761 -19.44 0.000 -5.067331 -4.139245
mill | -1.579772 .4555319 -3.47 0.001 -2.472598 -.6869456
paper | 1.039548 .1012485 10.27 0.000 .8411045 1.237991
chem | -2.747028 .1853032 -14.82 0.000 -3.110215 -2.38384
petro | -.099715 .0818765 -1.22 0.223 -.26019 .06076
rubber | -5.590311 .1229184 -45.48 0.000 -5.831227 -5.349396
leather | -1.408918 .3117076 -4.52 0.000 -2.019854 -.7979828
metal | -5.642789 .1517692 -37.18 0.000 -5.940251 -5.345326
transp | (dropped)
secu | -2.705448 .1586987 -17.05 0.000 -3.016492 -2.394404
just | -.4976849 .0287418 -17.32 0.000 -.5540178 -.441352
rnwhite | .033415 .0011554 28.92 0.000 .0311503 .0356796
mhhi | .0687624 .0027268 25.22 0.000 .063418 .0741068
carpl | .1050512 .0049816 21.09 0.000 .0952874 .1148149
manuf | .059941 .0017845 33.59 0.000 .0564434 .0634385
popt | -.013566 .0049359 -2.75 0.006 -.0232401 -.0038919
popu | .0214322 .0003912 54.78 0.000 .0206654 .0221989
MD | .6438677 .1216639 5.29 0.000 .4054109 .8823245
PA | -.3290206 .1106896 -2.97 0.003 -.5459682 -.1120729
plantdum2 | (dropped)
plantdum3 | (dropped)
plantdum4 | (dropped)
plantdum5 | (dropped)
plantdum6 | -.8737521 .2218897 -3.94 0.000 -1.308648 -.4388563
plantdum7 | -1.106989 .1822593 -6.07 0.000 -1.464211 -.7497677
plantdum8 | .3478083 .1596061 2.18 0.029 .0349861 .6606306
plantdum9 | -1.946071 .2701609 -7.20 0.000 -2.475577 -1.416566
plantdum10 | .2056404 .2093001 0.98 0.326 -.2045802 .615861
plantdum11 | -.9707295 .08547 -11.36 0.000 -1.138248 -.8032113
plantdum12 | (dropped)
plantdum13 | .0850417 .1997274 0.43 0.670 -.3064168 .4765002
plantdum14 | (dropped)
plantdum15 | 1.872152 .0898308 20.84 0.000 1.696087 2.048217
plantdum16 | -.727815 .1884699 -3.86 0.000 -1.097209 -.3584207
plantdum17 | -2.288263 .2261976 -10.12 0.000 -2.731602 -1.844923
plantdum18 | .2269513 .1408603 1.61 0.107 -.0491297 .5030324
plantdum19 | -1.168687 .1662243 -7.03 0.000 -1.494481 -.8428932
plantdum20 | .5467179 .1741751 3.14 0.002 .2053409 .8880948
plantdum21 | -1.407528 .1072642 -13.12 0.000 -1.617762 -1.197294
plantdum22 | .7337238 .2054737 3.57 0.000 .3310027 1.136445
plantdum23 | (dropped)
plantdum24 | (dropped)
plantdum25 | -2.116513 .2587528 -8.18 0.000 -2.623659 -1.609367
plantdum26 | (dropped)
plantdum27 | (dropped)
plantdum28 | (dropped)
plantdum29 | (dropped)
plantdum30 | (dropped)
plantdum31 | .0519363 .2364972 0.22 0.826 -.4115898 .5154623
plantdum32 | 5.76572 .167844 34.35 0.000 5.436751 6.094688
plantdum33 | (dropped)
plantdum34 | (dropped)
plantdum35 | (dropped)
plantdum36 | 7.096475 .1449033 48.97 0.000 6.812469 7.38048
plantdum37 | (dropped)
plantdum38 | (dropped)
plantdum39 | (dropped)
plantdum40 | 7.260004 .2132947 34.04 0.000 6.841954 7.678054
plantdum41 | 1.41097 .0983095 14.35 0.000 1.218287 1.603653
plantdum42 | -.9692919 .0296649 -32.67 0.000 -1.027434 -.9111497
plantdum43 | 1.084792 .0795524 13.64 0.000 .9288723 1.240712
plantdum44 | 1.225428 .1070797 11.44 0.000 1.015556 1.4353
plantdum45 | (dropped)
plantdum46 | (dropped)
plantdum47 | 4.555706 .150157 30.34 0.000 4.261403 4.850008
plantdum48 | 2.111834 .2632353 8.02 0.000 1.595902 2.627766
plantdum49 | 4.718928 .1469579 32.11 0.000 4.430895 5.00696
plantdum50 | 2.041079 .1658375 12.31 0.000 1.716044 2.366115
plantdum51 | (dropped)
plantdum52 | 1.992393 .4519647 4.41 0.000 1.106558 2.878227
plantdum53 | .7984359 .4564329 1.75 0.080 -.0961562 1.693028
plantdum54 | 2.395141 .2303797 10.40 0.000 1.943606 2.846677
plantdum55 | 3.523936 .1679183 20.99 0.000 3.194822 3.85305
plantdum56 | (dropped)
plantdum57 | (dropped)
plantdum58 | (dropped)
plantdum59 | 1.060518 .0548449 19.34 0.000 .9530237 1.168012
plantdum60 | (dropped)
plantdum61 | (dropped)
plantdum62 | 1.633855 .4632306 3.53 0.000 .7259401 2.541771
plantdum63 | (dropped)
plantdum64 | .1792942 .028385 6.32 0.000 .1236606 .2349277
plantdum65 | -.8104991 .1174556 -6.90 0.000 -1.040708 -.5802903
plantdum66 | -2.504236 .119425 -20.97 0.000 -2.738305 -2.270168
plantdum67 | -.2978648 .0570631 -5.22 0.000 -.4097065 -.1860232
plantdum68 | -.5260572 .101494 -5.18 0.000 -.7249818 -.3271327
plantdum69 | 2.412183 .0613695 39.31 0.000 2.291901 2.532465
plantdum70 | .1437169 .0591522 2.43 0.015 .0277806 .2596531
plantdum71 | 2.87729 .0947743 30.36 0.000 2.691536 3.063044
plantdum72 | .3985812 .1838042 2.17 0.030 .0383316 .7588308
plantdum73 | -.948565 .0512311 -18.52 0.000 -1.048976 -.8481538
plantdum74 | 1.484547 .0595253 24.94 0.000 1.36788 1.601215
plantdum75 | -.2724068 .0815195 -3.34 0.001 -.4321821 -.1126316
plantdum76 | -1.063033 .1385774 -7.67 0.000 -1.33464 -.7914264
plantdum77 | 1.452853 .0594178 24.45 0.000 1.336396 1.56931
plantdum78 | 2.14592 .1364149 15.73 0.000 1.878552 2.413288
plantdum79 | -2.251174 .1105202 -20.37 0.000 -2.467789 -2.034558
plantdum80 | .5619839 .047046 11.95 0.000 .4697754 .6541925
plantdum81 | .4208893 .0913233 4.61 0.000 .2418988 .5998797
plantdum82 | 1.527783 .0453195 33.71 0.000 1.438959 1.616608
plantdum83 | (dropped)
plantdum84 | 1.125875 .0432152 26.05 0.000 1.041175 1.210575
plantdum85 | 1.591836 .0577172 27.58 0.000 1.478713 1.70496
plantdum86 | 4.006383 .1716238 23.34 0.000 3.670006 4.342759
plantdum87 | (dropped)
plantdum88 | .6000273 .1352842 4.44 0.000 .334875 .8651795
plantdum89 | -2.0558 .0780075 -26.35 0.000 -2.208691 -1.902908
plantdum90 | 1.633073 .0935017 17.47 0.000 1.449813 1.816333
plantdum91 | .415067 .0848474 4.89 0.000 .2487693 .5813648
plantdum92 | 1.401441 .1117379 12.54 0.000 1.182439 1.620443
plantdum93 | 1.086346 .0447443 24.28 0.000 .9986492 1.174044
plantdum94 | .3558804 .1996679 1.78 0.075 -.0354614 .7472222
plantdum95 | .5308524 .0447122 11.87 0.000 .4432181 .6184866
plantdum96 | 1.02588 .2040099 5.03 0.000 .6260276 1.425732
plantdum97 | 2.448062 .1789877 13.68 0.000 2.097252 2.798871
plantdum98 | .6660908 .1088542 6.12 0.000 .4527406 .879441
plantdum99 | -2.903657 .0883717 -32.86 0.000 -3.076862 -2.730451
plantdum100 | -1.274899 .0404559 -31.51 0.000 -1.354191 -1.195607
_cons | (dropped)
-------------+----------------------------------------------------------------
rho | -.2280014
------------------------------------------------------------------------------
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