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Re: st: SUREG with if command.
From
Nick Cox <[email protected]>
To
[email protected]
Subject
Re: st: SUREG with if command.
Date
Tue, 25 Sep 2012 17:57:08 +0100
I just note that the reason 69 are being used is because -rep78- has 5
missing observations. If it's OK in principle for -sureg- to use
different subsets of the data then your comment has force.
Nick
On Tue, Sep 25, 2012 at 5:44 PM, Schaffer, Mark E <[email protected]> wrote:
> 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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>> >
>> >
>> > *
>> > * For searches and help try:
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>>
>> *
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>
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