RE: st: Panel Regression with missing x for one entity

["Whelan, Paul" <Paul.Whelan@bankofengland.co.uk>]

Hi, 

Does anyone have some advice re: the below? All countries were included in the estimation, 
just that at the prediction stage in there happens to be missing data on the right hand
side then stata gives me no forecast?

Thanks, 
Paul

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Whelan, Paul
Sent: Wednesday, August 15, 2012 3:08 PM
To: 'statalist@hsphsun2.harvard.edu'
Subject: RE: st: Panel Regression with missing x for one entity

Well, 

The is no information for this particular conditioning variable contributing
to the forecast for this country but it did contribute to the fit for the other
countries. So, a forecaster should still be able to make a projection. It's like

y_1 = c_1 + beta_11 X_1 + beta_12 X_2 + eps_1
y_2 = c_2 + beta_12 X_1 + + eps_2


stata doesn't compute E[y_2(t+h) | X_1] if [c_2 , beta_12 ] is estimated from the panel


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nick Cox
Sent: Wednesday, August 15, 2012 11:10 AM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: Panel Regression with missing x for one entity

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It's often difficult to know what is obvious, but let's spell out that
if any values were missing for a particular country, then no data for
that country contributed to the model fit.

Nick

On Wed, Aug 15, 2012 at 10:55 AM, Whelan, Paul
<Paul.Whelan@bankofengland.co.uk> wrote:
> Sure - I guess that is obvious.
>
> Thanks,
> Paul
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Maarten Buis
> Sent: Tuesday, August 14, 2012 7:23 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Panel Regression with missing x for one entity
>
> On Tue, Aug 14, 2012 at 7:43 PM, Whelan, Paul wrote:
>>> I'm running a panel regression with a cross-section of countries:
>>
>> y_it = c_it + beta_1 x_1 + ... + beta_n x_n + eps_it
>>
>> For one of my countries , a particular x is completely missing.
>> The estimation works fine but I cannot produce predictions for this particular entity.
>
> You (through Stata) create the prediction by just filling in the
> equation you gave above. A missing value just mean you don't know the
> value. What would be the outcome of: beta_1*"an unknown value"? Stata
> correctly answers: "an unknown value".
>
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