I need to run regressions on both OLS and fixed effects panel models. The dependent variable is arranged by a group variable. The OLS proceeds like this:
sysuse data, clear
bysort group: reg depVar expVar1 expVar2
That works as it should. However, I have not managed to make this work with panel data:
sysuse data, clear
xtset id year
bysort group: xtreg depVar expVar1 expVar2, fe
However, an error terminates the process after defining the panel variables because there are duplicate observations. That is not a "real" error because after sorting by group there would be no duplicates.
I know that I could reshape the data to wide format and type a separate line for each estimation, but I am wondering whether there are other, more convenient ways around this.
In principle it works (see code below):
webuse airacc, clear
xtset airline time, delta(1)
xtreg relsize pmi ait, fe
gen indicator = round(runiform())
bys indic: xtreg relsize pmi ait, fe
The problem seems to be the dublicates. I never came across such a problem. However, you could run two separate regressions: i) preserve the data, ii) drop observations from group x iii) run the regression iv) restore the data and go to step i). This should yield identical results as long as groups are mutually exclusive.
webuse airacc, clear
xtset airline time, delta(1)
xtreg relsize pmi ait, fe
gen indicator = round(runiform())
preserve
drop if indic == 1
xtreg relsize pmi ait, fe
restore
preserve
drop if indic == 0
xtreg relsize pmi ait, fe
restore
bys indic: xtreg relsize pmi ait, fe
Related
I do following fixed effects regression with a loop. I always get an error "option if is not allowed"!
levelsof Sic, local(Sic)
xtset Year
foreach i of local Sic {
xtreg y mq r d, fe if Sic == `i'
eststo
}
if i do the same regression with a normal OLS regression, its working without any problems. why?
The if qualifier should come before the comma, options afterwards.
levelsof Sic, local(Sic)
foreach i of local Sic {
eststo: xtreg y mq r d if Sic == `i', fe
}
I assume it worked with OLS because you did not have to specify any options.
So I am running an 2SLS model by interview year and I have many interview years and different models. I want to present the first-stage results first and then after reassuring the reader that they are solid move on to the interesting results.
Example of Table A (first stage):
Year DV Coef SE F N
1 A 0.5 0.1 100 1000
2 A 0.8 0.2 10 1500
3 B -0.6 0.4 800 800
Table B with the main results would look the same just without the F-Stat.
I searched on the web about how to create those tables automatically in Stata, but despite finding many questions I didn't find an answer that worked for me. From those different posts and help-files I build something that is nearly there.
It creates the table I want for the main results with the F-Stat together by some variable (Step A in the code). However, when I move on to do the same for the first stage it only saves the last wave as I restore the estimates. I understand why Stata does it like that, but I cannot think of a way of convincing it to do what I want.
clear all
*Install user-written commands
ssc install outreg2, replace
ssc install ivreg210, replace
*load data
sysuse auto, clear
*run example model (obviously the model itself is bogus)
********************************************************
*Step A: creates the IV results by foreign plus the F-Statistic
bys foreign: ///
outreg2 using output1-IV-F, label excel stats(coef se) dec(2) adds(F-Test, e(widstat)) nocons nor2 keep(mpg) replace: ///
ivreg210 price headroom trunk (mpg=rep78 ), savefirst first
*Step B: creates the first stage results in a seperate table
bys foreign: ///
ivreg210 price headroom trunk (mpg=rep78 ), savefirst first
est restore _ivreg210_mpg
outreg2 using output1_1st-stage, replace keep(rep78)
cap erase output1-IV-F
cap erase output1_1st-stage
So ideally I would only run the model once and have the F-Stat in the first-stage table, but I can fix that manually. The biggest issue I have is how to store the estimates when using bysort. If anyone has any suggestions about that, I would greatly appreciate it.
Thanks!
ssc install estout
then you can store whatever result you want for later use, even after a bysort.
eststo clear
sysuse auto, clear
bysort foreign: eststo: reg price weight mpg
esttab, label nodepvar nonumber
This is a round-about solution. It works, but really isn't the proper solution I was/am looking for. The "trick" is to run the 1st stage as a separate model.
clear all
*Install user-written commands
ssc install outreg2, replace
ssc install ivreg210, replace
*load data
sysuse auto, clear
*run example model (obviously the model itself is bogus)
********************************************************
*Step A: creates the IV results by foreign plus the F-Statistic
bys foreign: ///
outreg2 using output1-IV-F, label excel stats(coef se) dec(2) adds(F-Test, e(widstat)) nocons nor2 keep(mpg) replace: ///
ivreg210 price headroom trunk (mpg=rep78 ), savefirst first
*Step B: creates the first stage results in a seperate table
bys foreign: ///
ivreg210 price headroom trunk (mpg=rep78 ), savefirst first
est restore _ivreg210_mpg
outreg2 using output1_1st-stage1, replace keep(rep78)
*************
/* NEW BIT */
*************
*Step C: creates the first stage results in a seperate table
bys foreign: ///
outreg2 using output1_1st_NEW, label excel stats(coef se) dec(2) nocons nor2 keep(rep78) replace: ///
reg mpg headroom trunk rep78
cap erase output1-IV-F
cap erase output1_1st-stage1
cap erase output1_1st_NEW
In what follows I plot the mean of an outcome of interest (price) by a grouping variable (foreign) for each possible value taken by the fake variable time:
sysuse auto, clear
gen time = rep78 - 3
bysort foreign time: egen avg_p = mean(price)
scatter avg_p time if (foreign==0 & time>=0) || ///
scatter avg_p time if (foreign==1 & time>=0), ///
legend(order(1 "Domestic" 2 "Foreign")) ///
ytitle("Average price") xlab(#3)
What I would like to do is to plot the difference in the two group means over time, not the two separate means.
I am surely missing something, but to me it looks complicated because the information about the averages is stored "vertically" (in avg_p).
The easiest way to do this is to arguably use linear regression to estimate the differences:
/* Regression Way */
drop if time < 0 | missing(time)
reg price i.foreign##i.time
margins, dydx(foreign) at(time =(0(1)2))
marginsplot, noci title("Foreign vs Domestic Difference in Price")
If regression is hard to wrap your mind around, the other is involves mangling the data with a reshape:
/* Transform the Data */
keep price time foreign
collapse (mean) price, by(time foreign)
reshape wide price, i(time) j(foreign)
gen diff = price1-price0
tw connected diff time
Here is another approach. graph dot will happily plot means.
sysuse auto, clear
set scheme s1color
collapse price if inrange(rep78, 3, 5), by(foreign rep78)
reshape wide price, i(rep78) j(foreign)
rename price0 Domestic
label var Domestic
rename price1 Foreign
label var Foreign
graph dot (asis) Domestic Foreign, over(rep78) vertical ///
marker(1, ms(Oh)) marker(2, ms(+))
I am attempting to demonstrated characteristics of various tests for small samples of data. I would like to demonstrate the performance of the t-test, t-test with bootstrap estimation and the ranksum test. I am interested in obtaining the p-value for each test on multiple sets of data using simulate. However, I cannot obtain t-test estimates using the bootstrap prefix and ttest command.
The data is generated by:
clear
set obs 60
gen level = abs(rnormal(0,1))
gen group = "A"
replace group = "B" if [_n] >30
bootstrap, reps(100): ttest level, by(group)
bootstrap _b, reps(100): ttest level, by(group)
bootstrap boot_p = e(p), reps(100): ttest level, by(group)
The errors for each of the procedures in order are:
expression list required
invalid expression: _b
'e(p)' evaluated to missing in full sample
These results are not consistent with the documentation for the bootstrap prefix. Is there some problem with specification of e or r class objects and ttest ?
Edit:
Understanding now that r-class is the correct group of scalars, I still do not generate a variable 'p' given the code provided in the solution. Additionally:
clear
set more off
set obs 60
gen level = abs(rnormal(0,1))
gen group = "A"
replace group = "B" if [_n] >30
bootstrap p=r(p), reps(100): ttest level, by(group)
display r(p)
does not return the p-value.
ttest is an r-class command and stores its reults in r(). You seem to expect for it to save results in e(), like an e-class command. The norm is that the latter kind fit models; ttest is not in this category.
The two-sided p-value is stored in r(p), as indicated in help ttest:
clear
set more off
set obs 60
gen level = abs(rnormal(0,1))
gen group = "A"
replace group = "B" if [_n] >30
bootstrap p=r(p), reps(100): ttest level, by(group)
For regression output, I usually use a combination of eststo to store estimations, estadd to add the R2 and additional tests, then estab to output the lot.
I need to do the same with the table command. I need the mean, median and N for a variable across three by variables and would like to add stars for the result of a ttest==1 on the mean and signtest==1 on the median. I have three by variables, so I've been using table to collate the mean, median and N, which I'm calling like the following pseudo-code:
sysuse auto,clear
table foreign rep78 , ///
contents(mean price median price n price) format(%9.2f)
ttest price==1, by(foreign rep78)
signtest price=1, by(foreign rep78)
I've tried esttab and estpost to no avail. I've also looked at tabstat, tablemat and summarize as alternatives to table, but they don't allow three by variables.
How can I create this table, add the stars for the ttest and signtest p-values and output the full table?
The main point in your question seems to be producing a LaTeX table. However, you show "pseudo-code", that looks pretty much like Stata code, with the caveat that it is illegal.
In particular, for the ttest you can only have one variable in the by() option. But notice that ttest allows also the by: prefix (you can use both, in fact). Their reasons-to-be are different. On the other hand, signtest does not allow a by() option but it does allow the by: prefix. So you should probably clarify what you want to do before creating the table.
If you are trying to use the by: prefix in both cases and afterwards produce a table, you can create a grouping variable, and put the commands in a loop. In this way, you can try tabulating the saved results for each group using the ESTOUT module (by Ben Jann in SSC). Something like:
*clear all
set more off
sysuse auto
keep price foreign rep78
* create group variable
egen grou = group(foreign rep78)
* tests by group
forvalues i = 1/8 {
ttest price == 1 if grou == `i'
signtest price = 1 if grou == `i'
*<complete with estout syntax>
}
See help by, help egen (the group function), help estout and help saved results.