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RE: st: SUREG with if command.
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
RE: st: SUREG with if command.
Date
Tue, 25 Sep 2012 17:44:21 +0100
Nick,
I think David is right, and in this case -sureg- is not doing the best
it can.
Here's an example with the toy auto dataset. There are 69 obs for rep78
and 74 obs for everything else. In the following example,
. sureg (mpg rep78) (trunk turn)
Seemingly unrelated regression
----------------------------------------------------------------------
Equation Obs Parms RMSE "R-sq" chi2 P
----------------------------------------------------------------------
mpg 69 1 5.333491 0.1613 15.86 0.0001
trunk 69 1 3.48627 0.3462 26.22 0.0000
----------------------------------------------------------------------
-sureg- could be using all 74 observations for the trunk equation, but
it's using only 69.
It's even clearer with -reg3- (IIRC, -sureg- is implemented using
-reg3-). If you use -reg3- with the ols option,
. reg3 (mpg rep78) (trunk turn), ols
Multivariate regression
----------------------------------------------------------------------
Equation Obs Parms RMSE "R-sq" F-Stat P
----------------------------------------------------------------------
mpg 69 1 5.41057 0.1619 12.94 0.0005
trunk 69 1 3.497684 0.3610 37.84 0.0000
----------------------------------------------------------------------
-reg3- again uses only 69 obs for the trunk equation even though there
are 74 available and it's being asked to do OLS only.
--Mark
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Nick Cox
> Sent: 25 September 2012 17:32
> To: [email protected]
> Subject: Re: st: SUREG with if command.
>
> -sureg- will always do the best it can, and there is no extra trickery
except by
> imputing missing values.
>
> For clarity, don't think or write in terms of missing observations.
> It's values that are missing, not observations. Remember, for Stata an
> observation is a complete row, record, or case in other terminology.
>
> Nick
>
> On Tue, Sep 25, 2012 at 5:21 PM, David Ashcraft
> <[email protected]> wrote:
> > Thanks Nick, by saving number of observations, I meant e.g. for rp1,
I have
> 120 observations so I want -sureg- to utilize 120 observations not 60
> observations. Is there a way, I could utilize all non-missing
observations for
> each equation in -sureg- model?
> >
> > edit rp? if dummy==1: two variable rp8 and rp9 have all observations
as
> missing. I dropped these two equations from the model for dummy==1. I
> have got some results and these are inline with my expectations. I
also have
> checked for observation where dummy==0 and have found several
instances
> of missing observations.
> > Regards
> >
> > David
> >
> > ----- Original Message -----
> > From: Nick Cox <[email protected]>
> > To: [email protected]
> > Cc:
> > Sent: Tuesday, September 25, 2012 6:34:03 PM
> > Subject: Re: st: SUREG with if command.
> >
> > I've never used -sureg-. It seems to me that it uses or knows
nothing
> > about panel structure, so I surmise that it is indifferent to
> > unbalanced panels as such. But it seems that you do have missing
> > values in different observations and will have problems because
> > -sureg- can only function with non-missing values on all variables
> > named.
> >
> > Look at
> >
> > edit rp? if dummy == 1
> >
> > I don't know what you mean by "save the number of observation[s]".
> >
> > Nick
> >
> > On Tue, Sep 25, 2012 at 4:21 PM, David Ashcraft
> > <[email protected]> wrote:
> >> Hello Nick,
> >>
> >> I think problem is not with the dummy variable. This may be related
-
> sureg- model. It seems to me -sureg- needs a balanced panel resulting
in
> drop of number of observations considerably while implementing
-sureg-.
> >>
> >> Is there any other way where I can save the number of observation
and
> still use seemingly unrelated regression model?
> >>
> >> Below is some descriptive stats for your review.
> >>
> >>
> >> gen dummy=0
> >> . replace dummy = 1 if date2>17532
> >>
> >> (53 real changes made)
> >> . tabulate dummy
> >>
> >>
> >>
> >> dummy | Freq. Percent Cum.
> >> ------------+-----------------------------------
> >> 0 | 96 64.43 64.43
> >> 1 | 53 35.57 100.00
> >> ------------+-----------------------------------
> >> Total | 149 100.00
> >>
> >> . su rp1 rp2 rp3 rp4 rp6 rp7 rp8 rp9
> >>
> >> Variable | Obs Mean Std. Dev. Min
Max
> >>
-------------+-------------------------------------------------------
> >> -------------+-
> >> rp1 | 120 .001517 .0469446 -.1935012
.1102614
> >> rp2 | 120 .0008538 .0545707 -.212302
.1238899
> >> rp3 | 120 .0016796 .0565703 -.2283529
.1202257
> >> rp4 | 120 .0016847 .0588602 -.2037239
.1229283
> >> rp6 | 120 .0015542 .056026 -.2226954
.1190248
> >>
-------------+-------------------------------------------------------
> >> -------------+-
> >> rp7 | 120 .0016078 .0503465 -.2033414
.1073936
> >> rp8 | 88 .0023456 .0709356 -.2216449
.1371796
> >> rp9 | 88 .0033193 .0779086 -.2401649
.1579783
> >>
> >>
> >>
> >>
> >>
> >> ----- Original Message -----
> >> From: Nick Cox <[email protected]>
> >> To: [email protected]
> >> Cc:
> >> Sent: Tuesday, September 25, 2012 2:54:44 PM
> >> Subject: Re: st: SUREG with if command.
> >>
> >> Your results show 60 observations with non-missing values; dummy is
0
> >> on 60 of them (all) and so necessarily 1 on 0 (none) of them.
Stata's
> >> response is reasonable; there are _no_ observations to do your last
> >> command.
> >>
> >> You should perhaps revisit your definition of -dummy-, which
doesn't
> >> divide the dataset.
> >>
> >> Nick
> >>
> >> On Tue, Sep 25, 2012 at 12:42 PM, David Ashcraft
> >> <[email protected]> wrote:
> >>> Hi Statalist,
> >>>
> >>> I am trying to run -sureg- with multiple equation as per below.
Now I
> have divided my data based on dummy variable and I want to see if the
> results are any different based on the dummy variable. Based on my
data, I
> should get three different results i.e. one for the whole sample and
two
> based on the dummy variable. I am getting the same result for the
overall
> sample and where dummy==0 and getting no result for dummy==1.
> >>>
> >>> I don't understand why I am getting this result. Can anyone help
me
> direct to the solution of this problem. I have looked at some older
posts but
> there is no answer.
> >>> Regards
> >>>
> >>> David
> >>>
> >>>
> >>>
> >>> sureg (rp1 rm1)(rp2 rm2)(rp3 rm3)(rp4 rm4)(rp6 rm6)(rp7 rm7)(rp8
> >>> rm8)(rp9 rm9), corr
> >>>
> >>> Seemingly unrelated regression
> >>>
----------------------------------------------------------------------
> >>> Equation Obs Parms RMSE "R-sq" chi2
P
> >>>
----------------------------------------------------------------------
> >>> rp1 60 1 .0071761 0.9616 3298.70
0.0000
> >>> rp2 60 1 .0092113 0.9465 2534.55
0.0000
> >>> rp3 60 1 .0082266 0.9544 2847.07
0.0000
> >>> rp4 60 1 .0091633 0.9491 2198.62
0.0000
> >>> rp6 60 1 .0084368 0.9515 2677.13
0.0000
> >>> rp7 60 1 .0060539 0.9711 3703.34
0.0000
> >>> rp8 60 1 .009352 0.9866 5504.52
0.0000
> >>> rp9 60 1 .0115533 0.9832 4137.04
0.0000
> >>>
--------------------------------------------------------------------
> >>> --
> >>>
> >>>
------------------------------------------------------------------------
------
> >>> | Coef. Std. Err. z P>|z| [95%
Conf. Interval]
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp1 |
> >>> rm1 | .9992066 .0173974 57.43 0.000 .9651084
1.033305
> >>> _cons | -.0000674 .0009287 -0.07 0.942 -.0018876
.0017527
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp2 |
> >>> rm2 | .9733916 .0193347 50.34 0.000 .9354963
1.011287
> >>> _cons | -.0013549 .001196 -1.13 0.257 -.003699
.0009892
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp3 |
> >>> rm3 | .9942406 .0186334 53.36 0.000 .9577198
1.030761
> >>> _cons | -.0008887 .0010727 -0.83 0.407 -.0029911
.0012136
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp4 |
> >>> rm4 | .9618481 .0205131 46.89 0.000 .9216431
1.002053
> >>> _cons | .0010966 .0011632 0.94 0.346 -.0011832
.0033765
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp6 |
> >>> rm6 | .9920405 .0191732 51.74 0.000 .9544617
1.029619
> >>> _cons | -.0008398 .001099 -0.76 0.445 -.0029937
.0013142
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp7 |
> >>> rm7 | .9873097 .016224 60.86 0.000 .9555113
1.019108
> >>> _cons | .0001045 .0007886 0.13 0.895 -.0014411
.0016502
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp8 |
> >>> rm8 | .9554066 .0128774 74.19 0.000 .9301673
.9806458
> >>> _cons | .0009302 .0012033 0.77 0.439 -.0014282
.0032887
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp9 |
> >>> rm9 | .9889603 .0153757 64.32 0.000 .9588245
1.019096
> >>> _cons | -.0001408 .0014852 -0.09 0.924 -.0030518
.0027703
> >>>
--------------------------------------------------------------------
> >>> ----------
> >>>
> >>> Correlation matrix of residuals:
> >>>
> >>> rp1 rp2 rp3 rp4 rp6 rp7 rp8
rp9
> >>> rp1 1.0000
> >>> rp2 0.1214 1.0000
> >>> rp3 0.2210 0.9609 1.0000
> >>> rp4 0.4345 -0.0342 0.0495 1.0000
> >>> rp6 0.2268 0.9595 0.9982 0.0447 1.0000
> >>> rp7 0.9088 0.2710 0.3749 0.7114 0.3763 1.0000
> >>> rp8 0.2240 0.0839 0.0896 -0.0739 0.0987 0.1232 1.0000
> >>> rp9 0.2100 0.1163 0.1462 -0.0321 0.1497 0.1600 0.7653
1.0000
> >>>
> >>> Breusch-Pagan test of independence: chi2(28) = 338.778, Pr =
0.0000
> >>>
> >>> . sureg (rp1 rm1)(rp2 rm2)(rp3 rm3)(rp4 rm4)(rp6 rm6)(rp7 rm7)(rp8
> >>> rm8)(rp9 rm9)if dummy==0, corr
> >>>
> >>> Seemingly unrelated regression
> >>>
----------------------------------------------------------------------
> >>> Equation Obs Parms RMSE "R-sq" chi2
P
> >>>
----------------------------------------------------------------------
> >>> rp1 60 1 .0071761 0.9616 3298.70
0.0000
> >>> rp2 60 1 .0092113 0.9465 2534.55
0.0000
> >>> rp3 60 1 .0082266 0.9544 2847.07
0.0000
> >>> rp4 60 1 .0091633 0.9491 2198.62
0.0000
> >>> rp6 60 1 .0084368 0.9515 2677.13
0.0000
> >>> rp7 60 1 .0060539 0.9711 3703.34
0.0000
> >>> rp8 60 1 .009352 0.9866 5504.52
0.0000
> >>> rp9 60 1 .0115533 0.9832 4137.04
0.0000
> >>>
--------------------------------------------------------------------
> >>> --
> >>>
> >>>
------------------------------------------------------------------------
------
> >>> | Coef. Std. Err. z P>|z| [95%
Conf. Interval]
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp1 |
> >>> rm1 | .9992066 .0173974 57.43 0.000 .9651084
1.033305
> >>> _cons | -.0000674 .0009287 -0.07 0.942 -.0018876
.0017527
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp2 |
> >>> rm2 | .9733916 .0193347 50.34 0.000 .9354963
1.011287
> >>> _cons | -.0013549 .001196 -1.13 0.257 -.003699
.0009892
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp3 |
> >>> rm3 | .9942406 .0186334 53.36 0.000 .9577198
1.030761
> >>> _cons | -.0008887 .0010727 -0.83 0.407 -.0029911
.0012136
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp4 |
> >>> rm4 | .9618481 .0205131 46.89 0.000 .9216431
1.002053
> >>> _cons | .0010966 .0011632 0.94 0.346 -.0011832
.0033765
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp6 |
> >>> rm6 | .9920405 .0191732 51.74 0.000 .9544617
1.029619
> >>> _cons | -.0008398 .001099 -0.76 0.445 -.0029937
.0013142
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp7 |
> >>> rm7 | .9873097 .016224 60.86 0.000 .9555113
1.019108
> >>> _cons | .0001045 .0007886 0.13 0.895 -.0014411
.0016502
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp8 |
> >>> rm8 | .9554066 .0128774 74.19 0.000 .9301673
.9806458
> >>> _cons | .0009302 .0012033 0.77 0.439 -.0014282
.0032887
> >>>
-------------+------------------------------------------------------
> >>> -------------+----------
> >>> rp9 |
> >>> rm9 | .9889603 .0153757 64.32 0.000 .9588245
1.019096
> >>> _cons | -.0001408 .0014852 -0.09 0.924 -.0030518
.0027703
> >>>
--------------------------------------------------------------------
> >>> ----------
> >>>
> >>> Correlation matrix of residuals:
> >>>
> >>> rp1 rp2 rp3 rp4 rp6 rp7 rp8
rp9
> >>> rp1 1.0000
> >>> rp2 0.1214 1.0000
> >>> rp3 0.2210 0.9609 1.0000
> >>> rp4 0.4345 -0.0342 0.0495 1.0000
> >>> rp6 0.2268 0.9595 0.9982 0.0447 1.0000
> >>> rp7 0.9088 0.2710 0.3749 0.7114 0.3763 1.0000
> >>> rp8 0.2240 0.0839 0.0896 -0.0739 0.0987 0.1232 1.0000
> >>> rp9 0.2100 0.1163 0.1462 -0.0321 0.1497 0.1600 0.7653
1.0000
> >>>
> >>> Breusch-Pagan test of independence: chi2(28) = 338.778, Pr =
0.0000
> >>>
> >>> . sureg (rp1 rm1)(rp2 rm2)(rp3 rm3)(rp4 rm4)(rp6 rm6)(rp7 rm7)(rp8
> >>> rm8)(rp9 rm9)if dummy==1, corr insufficient observations r(2001);
> >
> > *
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> >
> >
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>
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