Re: st: RE: e(sample) after xtivreg2

[Nick Cox <njcoxstata@gmail.com>]

Good advice. Two very small comments on

g byte s=e(sample)
egen c=sum(s), by(company)

-egen, sum()- still works but is undocumented. In the great renaming
of Stata 9, it was renamed -total()-. (Some people got confused with
the function -sum()- which is quite different.)

Also, -total()- will take an expression, so the variable s is not
needed for this.

egen c = total(e(sample)), by(company)

works fine.

Nick

On Tue, Apr 12, 2011 at 3:26 PM, Austin Nichols <austinnichols@gmail.com> wrote:
> So I answered my own question by experiment: the singletons are
> excluded by both -xtreg- and -xtivreg2- for FE estimates of coefs, but
> included for the constant term reported by -xtreg- and also affect the
> F-test that all u_i are zero which seems questionable at best for most
> applications.  So I would recommend Chris exclude the singletons with
> an -if- qualifier e.g.
>
> webuse grunfeld, clear
> replace mval=. if (com>8)&(time!=10)
> qui xtreg mval inv, fe
> g byte s=e(sample)
> egen c=sum(s), by(company)
> xtreg mval inv if c>1, fe
>
> On Tue, Apr 12, 2011 at 9:48 AM, Austin Nichols <austinnichols@gmail.com> wrote:
>> Chris:
>> See also e.g. http://www.stata.com/statalist/archive/2008-11/msg00260.html
>>
>> Mark:
>> Are the singletons used in calculating SEs?
>> I.e. is the variation around the group mean (=zero) in a singleton
>> averaged together with other groups to estimate residual variance?
>> It is the case that if you estimate a first difference model in a
>> bunch of data where the first differences are often zero (suppose the
>> X variables change at most once in each panel but there are 20 time
>> periods) that the estimated coefficients will be the same as if you
>> had restricted to those obs where the difference is nonzero, but the
>> standard errors may differ substantially.  The difference may matter a
>> lot, in terms of radically different inferences drawn, but which set
>> of estimates you want depends a bit on your philosophical outlook
>> about the residuals.
>>
>> On Tue, Apr 12, 2011 at 9:26 AM, Chris Parker
>> <cparker.phd2007@london.edu> wrote:
>>> Mark,
>>>
>>> Thanks for the clarification. Yes, I agree that singletons cannot be
>>> used because the FE wipes them out. I guess I'm just a little confused
>>> by xtivreg2 including singletons in e(sample) when they are not used
>>> in the regression itself as evidenced by the decrease in number of obs
>>> in the output.
>>>
>>> Chris
>>>
>>> On Tue, Apr 12, 2011 at 2:06 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
>>>> Chris,
>>>>
>>>> To answer your specific question below:
>>>>
>>>>> Can someone explain what is going on here? Is xtivreg2 actually using
>>>>> the 172 observations or not?
>>>>
>>>> -xtivreg2- includes the 172 singletons in e(sample).  But of course the
>>>> FE (or FD) transformation effectively wipes these out, because there's
>>>> no within-group variation when there's only one observation in the
>>>> group.  -xtivreg2- warns about this.
>>>>
>>>> -xtreg- also does not - cannot! - use singletons to estimate the slope
>>>> coefficients with the FE estimator.  However, -xtreg- reports a constant
>>>> term, and if I'm not mistaken, it *does* use the singletons for
>>>> estimating that.
>>>>
>>>> I hope this clarifies things.

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