Monday, February 27, 2006

Re: st: behavior of -areg-

> I didn't but also didn't think it was necessary.

I don't know if that will fix your problem or not, but I would go ahead and try it.

areg estimates a one-way fixed effects model so even if strictly speaking you don't have a time dimension in your problem you can frame it as a panel estimation problem.

e.g. if instead of having many individuals observed over time you have many households with several individuals in it and you want to estimate household fixed effects.... you can think of the household as your categorical variable to be absorbed and your individuals as your repeated observations within that category.

robert

On 2/27/06, Radu Ban <raduban@gmail.com> wrote: > I didn't but also didn't think it was necessary. There is no time > element to the data. I was just puzzled as to why -areg- didn't notice > the colinearity. > > -radu > > 2006/2/27, Robert Duval <rduval@gmail.com>: > > Did you tsset your data? > > robert > > > > On 2/27/06, Radu Ban <raduban@gmail.com> wrote: > > > Dear Listers, > > > > > > I've encountered this puzzling behavior of -areg-: > > > > > > egen total_hh_nr = sum(hh_nr), by(keyid) > > > ... > > > > > > areg y x1 x2 total_hh_nr, absorb(keyid) > > > > > > [by mistake I included total_hh_nr in the regression]. The puzzle is > > > that when I run the regression "total_hh_nr" doesn't drop out (as I > > > would expect, due to invariance within "keyid"). The standard error on > > > "total_hh_nr" comes out very large, of the order 10^8, so there is > > > something weird going on, but I cannot figure out what. Furthermore, > > > the coefficient on "total_hh_nr" changes at every run of the program. > > > So, what is going on in here? > > > > > > Thanks so much, > > > Radu Ban > > > > > > * > > > * For searches and help try: > > > * http://www.stata.com/support/faqs/res/findit.html > > > * http://www.stata.com/support/statalist/faq > > > * http://www.ats.ucla.edu/stat/stata/ > > > > > > > * > > * For searches and help try: > > * http://www.stata.com/support/faqs/res/findit.html > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ >

* * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


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