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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
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