Re: st: huge amount of j-th related individual dummies

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

Can you give an an example of your data set?

Perhaps we can better see the nature of the problem.

Best,
J.

__________________________________________

Prof. John Antonakis
Faculty of Business and Economics
Department of Organizational Behavior
University of Lausanne
Internef #618
CH-1015 Lausanne-Dorigny
Switzerland
Tel ++41 (0)21 692-3438
Fax ++41 (0)21 692-3305
http://www.hec.unil.ch/people/jantonakis
Associate Editor
The Leadership Quarterly
__________________________________________


On 20.12.2011 09:43, massimiliano stacchini wrote:
> Thanks. However the problem is not solved.
> The precondition for realizing your strategy is to impose the 'panel' structure to the database by mean of  the command ' tsset borrower time'
> (necessary fo running the command  xtreg ..., fe )
>
> However, when I run the command ' tsset borrower time' I get the error message: 'repeated time values within panel'.
> The error is driven by the presence of multiple lenders for each borrower in the same period (different 'i' for each 'j' in time 't')
>   
>
> Can you deal with that ? thanks
>
>
>
>
> ----- Messaggio originale -----
> Da: John Antonakis<John.Antonakis@unil.ch>
> A: statalist@hsphsun2.harvard.edu
> Cc:
> Inviato: Lunedì 19 Dicembre 2011 19:06
> Oggetto: Re: st: huge amount of j-th related individual dummies
>
> Hi:
>
> You can easily solve your problem of modeling the fixed-effects by using procedure not known to many--that is, including the cluster level mean of the panel-varying variable gives the same estimates as using dummy variables. For a technical explanation see:
>
> Mundlak, Y. (1978). Pooling of Time-Series and Cross-Section Data. Econometrica, 46(1), 69-85.
>
> For a basic intuitive explanation see:
>
> Antonakis, J., Bendahan, S., Jacquart, P.,&  Lalive, R. (2010). On making causal claims: A review and recommendations. The Leadership Quarterly, 21(6), 1086-1120.
>
> To see specific examples in action with data, see:
>
> Rabe-Hesketh, S.,&  Skrondal, A. (2008). Multilevel and Longitudinal Modeling Using Stata. College Station, TX: Stata Press.
>
> Hope this helps.
>
> John.
>
> __________________________________________
>
> Prof. John Antonakis
> Faculty of Business and Economics
> Department of Organizational Behavior
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
> http://www.hec.unil.ch/people/jantonakis
> Associate Editor
> The Leadership Quarterly
> __________________________________________
>
>
> On 19.12.2011 16:46, massimiliano stacchini wrote:
> > Dear users,
> > I need to
> > run in STATA the following model   y(i , j , t)  = X(i , j , t ) + D(i) + F(j) + H(t)D(i) F(j), H(t)  represent a set of fixed effects dummies respectively for the i-th lender , the j-th borrower and the it-th period.
> > The problem is that I have 60,000
> > borrowers (60,000 j-th related dummies).
> >
> > The command:
> >
> > xi: regress rate  i.borrower ....i.time i.lender
> >
> > does not support a so
> > huge amount of related-to-borrowers –dummies.
> >
> > Could you suggest me how can I deal with this problem ?
> > thanks
> > *
> > *   For searches and help try:
> > *  http://www.stata.com/help.cgi?search
> > *  http://www.stata.com/support/statalist/faq
> > *  http://www.ats.ucla.edu/stat/stata/
> *
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>
>
> *
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> *   http://www.ats.ucla.edu/stat/stata/
*
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