Re: st: How to estimate standard error of panel variant coefficient

[Tirthankar Chakravarty <tirthankar.lists@gmail.com>]

Use -margins, expression()- as in this simple example:

*-----------------------------------------------------------------
webuse nlswork, clear
xtset idcode year

generate age2 = age^2
generate ttl_exp2 = ttl_exp^2
generate tenure2 = tenure^2
generate byte black = (race==2)

xtreg ln_w  L.ln_w age ttl_exp L.ttl_exp c.ttl_exp#i.collgrad , fe
margins, expression(_b[ttl_exp]*collgrad)  // expression of your choice
*-----------------------------------------------------------------

Note that "collgrad" is a panel invariant variable (Z_i) in this case.

T



On Mon, Oct 8, 2012 at 7:44 AM, Ram Acharya <acharya.ramc@gmail.com> wrote:
> I am working in country and year panel data. The right-hand side
> variables include lagged dependent and contemporaneous and lagged X
> exogenous variable. I also have an interaction of contemporaneous X
> and country component (Zi) which varies by country but not by year.
> The model is somewhat like below
>
> Yit = a + lambda* Yi(t-1) + b1 Xit + b2 Xi(t-1) + b3 Xit* (Zi)
>
> My interest is in the long run coefficient (theta), which can be computed as
>
> Theta(i) = [b1 + b2 + b3*(Zi) ] / [1 – lambda]
>
> Note that theta varies by country. My question is: how to compute
> standard error for Theta. If I did not have Zi, and had only two
> variables, then I could use Delta method such as below to estimate
> both coefficient and se.
> nlcom (_b[Xit]+_b[L.xit])/(1-_b[L.Y])
>
> It appears to me that I cannot use the same method, as b3 varies by
> country depending on the value of Zi. What would be the command in
> Stata to estimate standard errors for Theta?
>
> Thanks in advance for the help.
> Ram Acharya
>
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