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

[John Antonakis <John.Antonakis@unil.ch>]

Hi:

See also:

http://www.stata.com/statalist/archive/2003-06/msg00646.html

Best,
J.

__________________________________________

Prof. John Antonakis
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Department of Organizational Behavior
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The Leadership Quarterly
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On 12.04.2011 16:37, Chris Parker wrote:
> Interesting analysis, Austin. Thanks to everyone who helped me work
> through this issue!
> Chris
>
> Chris Parker
>
> ________________________________
>
> PhD Candidate | Management Science&  Operations
> London Business School | Regent's Park | London NW1 4SA | United Kingdom
> Direct line +44 (0)20 7000 8816 | Email cparker.phd2007@london.edu
>
> 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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