Monday, February 27, 2006

st: behavior of -areg-

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

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