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: inconsistent results for two-dimensions fixed effects regressions using xtreg reg areg ivreg2
From
Nahla Betelmal <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: inconsistent results for two-dimensions fixed effects regressions using xtreg reg areg ivreg2
Date
Wed, 14 Aug 2013 13:22:32 +0100
Hi Statalist,
I have a panel data of firms and years, however, I would like to
perform industry and year fixed effect regression. using different
approaches, I got different IV coefficient and standard error,
although it should be identical if I am doing it right. I would highly
appreciate it if someone kindly explain what I am doing wrong and what
is the right way to get industry and year fixed effects.
the commands I used are:
1) xi: reg DV IV i.year, vce (cluster industry)
2) xtset firm year then xtreg DV IV i.year, fe vce (cluster industry)
3) egen industry_firm= group (industry firm) then xtset industry_firm
year then xtreg DV IV i.year, fe vce (cluster industry)
4) tsset industry_firm year then ivreg2 DV IV,cluster ( industry_firm year)
5) areg DV IV, absorb ( year ) cluster (industry)
under reg command: IV = 0.386 with SE= 0.022
under xtreg command with firm year panel set: IV = .418 with SE= .0241
under xtreg command with industry-firm year panel set: IV = .418 with SE= .024
under ivreg2 command: IV = .410 with SE= .007
under areg command: IV = 0.386 with SE= 0.022
. xi: reg DV IV i.year, vce (cluster industry)
i.year _Iyear_1992-2012 (naturally coded; _Iyear_1992 omitted)
Linear regression Number of obs = 23830
F( 21, 57) = 768.66
Prob > F = 0.0000
R-squared = 0.5461
Root MSE = .6461
(Std. Err. adjusted for 58 clusters in industry)
-------------------------------------------------------------------------------
| Robust
DV | Coef. Std. Err. t P>|t| [95%
Conf. Interval]
--------------+----------------------------------------------------------------
IV | .3869693 .0225831 17.14 0.000
.3417475 .4321911
_Iyear_1993 | .150389 .0239546 6.28 0.000 .1024208 .1983573
_Iyear_1994 | .2857099 .0271864 10.51 0.000 .2312702 .3401496
_Iyear_1995 | .2927993 .0307951 9.51 0.000 .2311331 .3544654
_Iyear_1996 | .4353512 .0304859 14.28 0.000 .3743044 .4963981
_Iyear_1997 | .5286896 .0292151 18.10 0.000 .4701874 .5871917
_Iyear_1998 | .5852497 .0337522 17.34 0.000 .5176621 .6528374
_Iyear_1999 | .6969439 .0523892 13.30 0.000 .5920364 .8018514
_Iyear_2000 | .8019949 .0666928 12.03 0.000 .6684448 .9355449
_Iyear_2001 | .7710818 .0486744 15.84 0.000 .673613 .8685507
_Iyear_2002 | .6978223 .0325914 21.41 0.000 .6325592 .7630854
_Iyear_2003 | .6427671 .0347611 18.49 0.000 .5731593 .712375
_Iyear_2004 | .7757021 .0394535 19.66 0.000 .6966978 .8547064
_Iyear_2005 | .7806429 .0418054 18.67 0.000 .6969291 .8643566
_Iyear_2006 | .7746051 .0462916 16.73 0.000 .6819076 .8673025
_Iyear_2007 | .7758041 .0484202 16.02 0.000 .6788444 .8727639
_Iyear_2008 | .7734638 .0508533 15.21 0.000 .6716317 .8752958
_Iyear_2009 | .7319797 .0564072 12.98 0.000 .6190263 .8449332
_Iyear_2010 | .8741285 .0506573 17.26 0.000 .772689 .975568
_Iyear_2011 | .8889354 .0532101 16.71 0.000 .782384 .9954869
_Iyear_2012 | .8979328 .0565989 15.86 0.000 .7845956 1.01127
_cons | 5.403047 .1238831 43.61 0.000 5.154975 5.651118
-------------------------------------------------------------------------------
xtset firm year
panel variable: firm (unbalanced)
time variable: year, 1992 to 2012, but with gaps
delta: 1 unit
. xtreg DV IV i.year, fe vce (cluster industry)
Fixed-effects (within) regression Number of obs = 23830
Group variable: firm Number of groups = 2312
R-sq: within = 0.4113 Obs per group: min = 1
between = 0.5998 avg = 10.3
overall = 0.5456 max = 21
F(21,57) = 463.93
corr(u_i, Xb) = -0.0970 Prob > F = 0.0000
(Std. Err. adjusted for 58 clusters in industry)
------------------------------------------------------------------------------
| Robust
DV | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
IV | .4183645 .0241281 17.34 0.000 .3700488
.4666802
|
year |
1993 | .1560772 .0200202 7.80 0.000 .1159874 .196167
1994 | .2929982 .0224807 13.03 0.000 .2479813 .3380151
1995 | .3019359 .0268163 11.26 0.000 .2482373 .3556345
1996 | .4272691 .0264501 16.15 0.000 .3743038 .4802344
1997 | .5209287 .0266063 19.58 0.000 .4676506 .5742069
1998 | .5877827 .0276877 21.23 0.000 .5323391 .6432264
1999 | .6989115 .0427304 16.36 0.000 .6133453 .7844777
2000 | .7988406 .0477286 16.74 0.000 .7032657 .8944154
2001 | .7589164 .0375573 20.21 0.000 .6837091 .8341236
2002 | .687617 .034973 19.66 0.000 .6175848 .7576492
2003 | .6310008 .0488884 12.91 0.000 .5331035 .7288982
2004 | .7611996 .0507837 14.99 0.000 .659507 .8628921
2005 | .7687923 .0552525 13.91 0.000 .6581511 .8794336
2006 | .7524079 .0609127 12.35 0.000 .6304324 .8743834
2007 | .7519399 .0642041 11.71 0.000 .6233734 .8805064
2008 | .750493 .0684401 10.97 0.000 .6134441 .887542
2009 | .7118027 .067056 10.62 0.000 .5775254 .8460799
2010 | .8504969 .0632919 13.44 0.000 .7237569 .9772368
2011 | .8674839 .0664437 13.06 0.000 .7344328 1.000535
2012 | .863437 .0733127 11.78 0.000 .7166308 1.010243
|
_cons | 5.18669 .152373 34.04 0.000 4.881568 5.491812
-------------+----------------------------------------------------------------
sigma_u | .4935113
sigma_e | .47151369
rho | .52278302 (fraction of variance due to u_i)
------------------------------------------------------------------------------
. egen industry_firm= group (industry firm)
. xtset industry_firm year
panel variable: industry_firm (unbalanced)
time variable: year, 1992 to 2012, but with gaps
delta: 1 unit
. xtreg DV IV i.year, fe vce (cluster industry)
Fixed-effects (within) regression Number of obs = 23830
Group variable: industry_firm Number of groups = 2312
R-sq: within = 0.4113 Obs per group: min = 1
between = 0.5998 avg = 10.3
overall = 0.5456 max = 21
F(21,57) = 463.93
corr(u_i, Xb) = -0.0970 Prob > F = 0.0000
(Std. Err. adjusted for 58 clusters in industry)
------------------------------------------------------------------------------
| Robust
DV | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
IV | .4183645 .0241281 17.34 0.000 .3700488 .4666802
|
year |
1993 | .1560772 .0200202 7.80 0.000 .1159874 .196167
1994 | .2929982 .0224807 13.03 0.000 .2479813 .3380151
1995 | .3019359 .0268163 11.26 0.000 .2482373 .3556345
1996 | .4272691 .0264501 16.15 0.000 .3743038 .4802344
1997 | .5209287 .0266063 19.58 0.000 .4676506 .5742069
1998 | .5877827 .0276877 21.23 0.000 .5323391 .6432264
1999 | .6989115 .0427304 16.36 0.000 .6133453 .7844777
2000 | .7988406 .0477286 16.74 0.000 .7032657 .8944154
2001 | .7589164 .0375573 20.21 0.000 .6837091 .8341236
2002 | .687617 .034973 19.66 0.000 .6175848 .7576492
2003 | .6310008 .0488884 12.91 0.000 .5331035 .7288982
2004 | .7611996 .0507837 14.99 0.000 .659507 .8628921
2005 | .7687923 .0552525 13.91 0.000 .6581511 .8794336
2006 | .7524079 .0609127 12.35 0.000 .6304324 .8743834
2007 | .7519399 .0642041 11.71 0.000 .6233734 .8805064
2008 | .750493 .0684401 10.97 0.000 .6134441 .887542
2009 | .7118027 .067056 10.62 0.000 .5775254 .8460799
2010 | .8504969 .0632919 13.44 0.000 .7237569 .9772368
2011 | .8674839 .0664437 13.06 0.000 .7344328 1.000535
2012 | .863437 .0733127 11.78 0.000 .7166308 1.010243
|
_cons | 5.18669 .152373 34.04 0.000 4.881568 5.491812
-------------+----------------------------------------------------------------
sigma_u | .4935113
sigma_e | .47151369
rho | .52278302 (fraction of variance due to u_i)
------------------------------------------------------------------------------
ivreg2 DV IV,cluster ( industry_firm year)
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on
industry_firm and fyear2
Number of clusters (industry_firm) = 2312 Number of obs = 23830
Number of clusters (fyear2) = 21 F( 1, 20) = 2849.29
Prob > F = 0.0000
Total (centered) SS = 21896.66904 Centered R2 = 0.4955
Total (uncentered) SS = 1891568.745 Uncentered R2 = 0.9942
Residual SS = 11046.6797 Root MSE = .6809
------------------------------------------------------------------------------
| Robust
DV | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
IV | .410624 .0075071 54.70 0.000 .3959104 .4253377
_cons | 5.883496 .0562149 104.66 0.000 5.773317 5.993675
------------------------------------------------------------------------------
Included instruments: IV
areg DV IV, absorb ( year ) cluster (industry)
Linear regression, absorbing indicators Number of obs = 23830
F( 1, 57) = 293.62
Prob > F = 0.0000
R-squared = 0.5461
Adj R-squared = 0.5457
Root MSE = 0.6461
(Std. Err. adjusted for 58 clusters in twodigit)
------------------------------------------------------------------------------
| Robust
DV | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
IV | .3869693 .0225831 17.14 0.000 .3417475 .4321911
_cons | 6.05483 .1337655 45.26 0.000 5.786969 6.322691
-------------+----------------------------------------------------------------
year | absorbed (21 categories)
Many thanks in advance,
Nahla Betelmal
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/faqs/resources/statalist-faq/
* http://www.ats.ucla.edu/stat/stata/