Monday, February 27, 2006

Re: st: behavior of -areg-

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/


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