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

[Chris Parker <cparker.phd2007@london.edu>]

Interesting analysis, Austin. Thanks to everyone who helped me work
through this issue!
Chris

Chris Parker

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PhD Candidate | Management Science & Operations
London Business School | Regent's Park | London NW1 4SA | United Kingdom
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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.
> >>>
> >>> Cheers,
> >>> Mark
> >>>
> >
>
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