Dear Statalist-Members,
- I have panel data which is identified by panel variable „id“ and time variable „year“.
- I have 5 observations per group and I refer to the first observation as „year 0“, the second as "year 1" and so forth until the last observation which is "year 4"
- I have a treatment variable called "indep" which is a dummy variable that is either 1 or 0 in „year 0“.
- in "year 0", the variable "Indic" is equal to 1, for all other observations of the same "id" it is equal to 0
- i have a dependent variable called "dep" which is measured in "year 2", "year 3" and "year 4"
- I would like to measure the effect of the treatment in year2, year3 and year4.
-
- Therefore, I create 3 variables by using the following code:
A sample of my data:
What I would like to do:
- run the regression with fixed effects and random effects
- conduct hausman test to decide on which effects to use
My problem/question:
- if I use fixed effect models in the regression, Stata omits indep_y4 but I do not understand why?
- or should I eliminate one of the independent variables in both models (random and fixed), run the regressions and then the hausman test?
Any help is highly appreciated! Thank you,
Samuel
- I have panel data which is identified by panel variable „id“ and time variable „year“.
- I have 5 observations per group and I refer to the first observation as „year 0“, the second as "year 1" and so forth until the last observation which is "year 4"
- I have a treatment variable called "indep" which is a dummy variable that is either 1 or 0 in „year 0“.
- in "year 0", the variable "Indic" is equal to 1, for all other observations of the same "id" it is equal to 0
- i have a dependent variable called "dep" which is measured in "year 2", "year 3" and "year 4"
- I would like to measure the effect of the treatment in year2, year3 and year4.
-
- Therefore, I create 3 variables by using the following code:
Code:
sort id year xtset id year, y gen y0 = 0 replace y0 = 1 if indic==1 gen y1 = 0 replace y1 = 1 if L.indic==1 gen y2 = 0 replace y2 = 1 if L2.indic==1 gen y3 = 0 replace y3 = 1 if L3.indic==1 gen y4 = 0 replace y4 = 1 if L4.indic==1 gen indep_y2=0 replace indep_y2=1 if L2.indep==1 & y2==1 gen indep_y3=0 replace indep_y3=1 if L3.indep==1 & y3==1 gen indep_y4=0 replace indep_y4=1 if L4.indep==1 & y4==1 xtreg dep indep_y2 indep_y3 indep_y4, re * here it seems the regression works correctly xtreg dep indep_y2 indep_y3 indep_y4, fe * now, Stata ommits indep_y4, but I do not understand why?
A sample of my data:
Code:
* Example generated by -dataex-. To install: ssc install dataex clear input double year float indic byte indep float(id dep) 2001 1 1 1 . 2002 0 . 1 . 2003 0 . 1 -.027934074 2004 0 . 1 -.0038553104 2005 0 . 1 -.02093103 1990 1 1 2 . 1991 0 . 2 . 1992 0 . 2 .00416765 1993 0 . 2 .03713628 1994 0 . 2 .08618537 2001 1 1 3 . 2002 0 . 3 . 2003 0 . 3 .05064285 2004 0 . 3 .06113254 2005 0 . 3 .023163736 1996 1 0 4 . 1997 0 . 4 . 1998 0 . 4 -.014856376 1999 0 . 4 -.03399779 2000 0 . 4 .19193664 end format %ty year
What I would like to do:
- run the regression with fixed effects and random effects
- conduct hausman test to decide on which effects to use
My problem/question:
- if I use fixed effect models in the regression, Stata omits indep_y4 but I do not understand why?
- Am I missing something? Or specifying the variables wrong?- is it ok if I use random effects than?
- or should I eliminate one of the independent variables in both models (random and fixed), run the regressions and then the hausman test?
Any help is highly appreciated! Thank you,
Samuel
