Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: Panel analysis - Chosing the best estimator
From
"Stefan Weih" <[email protected]>
To
[email protected]
Subject
st: Panel analysis - Chosing the best estimator
Date
Wed, 2 May 2012 11:51:58 +0200
Dear Statlist-members,
I am currently analysing some panel data and I am still in the process of
finding the best estimator for my data.
I ran several tests (e.g. hausman) already (please see below) which
indicate that fixed-effects (FE) would be the right one. However, the data
includes also some time-invariant variables (e.g. age, dummies for country
of origin, dummies for certain sequence effect)that I would like to
estimate since they are of high importance for my research topic.
So, if FE was the right estimator to use, from my understanding, I do not
get any coefficients on my time-invariant variables.
Do you have any recommendations for me from your experience what to do in
such a situation? What other estimators or models would you recommend? And
what could be a possible line of argumentation to use this estimator/model
then?
Thank you very much for any help!
Best regards,
Stefan
Here are the test results on the hausman test from the base model (some
additional info: both heteroscedasticit and autocorrelation is present):
quietly xtreg _roa _entropy_p_4dig_gics _entropy_i _firm_size_rev_nat_log
firm_age _leverage_assets _rd_intensity coo_eu rope coo_asia
__ext_growth_view2 roa_industry_sic industrygrowth_sic
industry_2dig_gics_10 industry_2dig_gics_15 industry_2dig_gics_20
industry_2dig_gics_25 industry_2dig_gics_30 industry_2dig_gics_35
industry_2dig_gics_50 industry_2dig_gics_55 year_2001 year _2002 year_2003
year_2004 year_2005 year_2006 year_2007 year_2008 year_2009 year_2010, re
vce(robust)
estimates store Model1_RE
xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
_roa[_geo_id,t] = Xb + u[_geo_id] + e[_geo_id,t]
Estimated results:
| Var sd = sqrt(Var)
---------+-----------------------------
_roa | .0092097 .0959672
e | .0020787 .0455924
u | .0057581 .0758819
Test: Var(u) = 0
chibar2(01) = 1784.49
Prob > chibar2 = 0.0000
.
. testparm year_*
( 1) year_2001 = 0
( 2) year_2002 = 0
( 3) year_2003 = 0
( 4) year_2004 = 0
( 5) year_2005 = 0
( 6) year_2006 = 0
( 7) year_2007 = 0
( 8) year_2008 = 0
( 9) year_2009 = 0
(10) year_2010 = 0
chi2( 10) = 39.43
Prob > chi2 = 0.0000
quietly xtreg _roa _entropy_p_4dig_gics _entropy_i _firm_size_rev_nat_log
firm_age _leverage_assets _rd_intensity coo_eu rope coo_asia
__ext_growth_view2 roa_industry_sic industrygrowth_sic
industry_2dig_gics_10 industry_2dig_gics_15 industry_2dig_gics_20
industry_2dig_gics_25 industry_2dig_gics_30 industry_2dig_gics_35
industry_2dig_gics_50 industry_2dig_gics_55 year_2001 year _2002 year_2003
year_2004 year_2005 year_2006 year_2007 year_2008 year_2009 year_2010, fe
vce(robust)
estimates store Model2_FE
hausman Model1_RE Model2_FE, sigmamore
---- Coefficients ----
| (b) (B) (b-B)
sqrt(diag(V_b-V_B))
| FE_Base RE_Base Difference S.E.
-------------+----------------------------------------------------------------
_entropy_p~s | -.0065339 -.0128126 .0062786 .0039785
_entropy_i | -.0322273 -.0149911 -.0172362 .0071288
_firm_size~g | -.0063533 -.0044396 -.0019136 .0035541
_leverage~ts | -.0673979 -.0772317 .0098338 .0054994
_rd_intens~y | -1.356907 -1.014656 -.3422504 .0320651
__ext_grow~2 | .0103768 .0110762 -.0006994 .0007249
roa_indust~c | .1121113 .1193533 -.0072419 .0066685
industrygr~c | .0003156 .0002818 .0000337 .0000503
year_2001 | -.0249425 -.029257 .0043145 .0008362
year_2002 | -.0257642 -.0305598 .0047956 .0008249
year_2003 | -.0095334 -.0155798 .0060464 .0008552
year_2004 | -.0000192 -.0065239 .0065047 .0010287
year_2005 | -.0002363 -.0047472 .004511 .0011081
year_2006 | -.0018331 -.0069484 .0051153 .001359
year_2007 | .002791 -.0028696 .0056606 .0017221
year_2008 | .0044858 -.0010075 .0054933 .0020172
year_2009 | -.0021243 -.0079116 .0057873 .0017457
year_2010 | .0063719 .000954 .0054179 .0019359
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained
from xtreg
B = inconsistent under Ha, efficient under Ho; obtained
from xtreg
Test: Ho: difference in coefficients not systematic
chi2(18) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 137.80
Prob>chi2 = 0.0000
*
* 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/