![]() Y X Z, Coeff(X) Time(t) ĬOEFF_TS estimates a sequence of regressions for time series or panel data. The description of the code is just commented out in the script and pasted below the fold. It does a sequence of regressions for a moving window of specified length and stores the changing coefficient, SE and CI (t-test).įor example, the figure at right shows the coefficient from the modelįor a panel of all countries estimated for a moving window that covers 3 years at a time. You specify your multiple regression model (for OLS, but you can change it easily to run a different estimator), which coefficient to examine. Here's my simple but handy script that let's you see if your coefficient is stable or changing with a single command. However, if we use the Stata built-in dataset and we forget to include an -if- clause when we ask for -predict-:įitted_2 | 74 7254.814 1448.498 2321.911 9582.549Stata returns 74 fitted values, regardless the -if- caluse invoked in -regress-.If you're estimating a regression model with time series or panel data, you often would like to know if the coefficient you're interested in is changing over time or if its stable for subsamples of the time series or panel. One way to help keep your usage of these different constructs correct is to consistently refer to them by their correct names, so as to emphasize the difference in your mind.Ĭode. It is not uncommon for new users to confuse these, and even experienced users sometimes mistakenly use one where the other is called for. But it does something different and the syntax is different. Stata also has a different construct that is called an if statement or if command. But if you can show me an example to the contrary, I'll try to troubleshoot it.įinally, a pointer on Stata terminology The -if var = 1- construct is not called an if statement. ![]() Or, alternatively, perhaps the commands actually used are not quite as you show them. Most likely, there was some discrepancy in the starting data. My bottom line is that if you both started from the exact same data and used the commands you show, you should have gotten the same results. (Be sure to read the Forum FAQ, especially #12, so you use the proper approaches to showing this information.) I suggest that you post some example data, perhaps the very data set used in the assignment, along with all the commands your friend and you used in setting up the problem (including those that preceded what you show in #1) and the output you each received. There is no reason I can see why this should have happened, and I cannot replicate the phenomenon with any examples I have tried. So I'll respond, but I caution you that, in general, you should not post school assignments here. Your post is a borderline case: it appears you have actually done the assignment, and are trying to go a bit beyond and understand farther. ![]() It is the general policy here not to provide assistance with school assignments.
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |