Dear Statalists,
I run in some trouble with the cnsreg function in combination with multicollinearity. I restrict my dummy regression such that it deals with multicollinearity, the only problem is that it seems that Stata first deals with multicollinearity before it takes my constraints in account. Does anyone know how I could change this in Stata?
I asked this question before, only slightly different: https://www.statalist.org/forums/for...lticolinearity
This are my code, results and an example of the data:
Commands:
Results:
Data:
I run in some trouble with the cnsreg function in combination with multicollinearity. I restrict my dummy regression such that it deals with multicollinearity, the only problem is that it seems that Stata first deals with multicollinearity before it takes my constraints in account. Does anyone know how I could change this in Stata?
I asked this question before, only slightly different: https://www.statalist.org/forums/for...lticolinearity
This are my code, results and an example of the data:
Commands:
Code:
bysort _j: drop if industry==.
levelsof country1, local(country1)
levelsof industry, local(industry)
local country1_constraint 0
local industry_constraint 0
foreach c of local country1 {
count if country1 == `c'
local country1_constraint `country1_constraint' + `r(N)'*cc`c'
gen byte cc`c' = `c'.country1
}
foreach i of local industry {
count if industry == `i'
local industry_constraint `industry_constraint' + `r(N)'*ii`i'
gen byte ii`i' = `i'.industry
}
display `"`industry_constraint'"'
constraint def 1 `country1_constraint' = 0
constraint def 2 `industry_constraint' = 0
cnsreg ret eumean cc* ii*, constraints(1 2)
Results:
Code:
cnsreg ret cc* ii*, noconstant constraints(1 2) note: cc12 omitted because of collinearity note: ii9 omitted because of collinearity Constrained linear regression Number of obs = 1,318,853 F( 18,1318835) = 32.37 Prob > F = 0.0000 Root MSE = 0.0570 ( 1) 46463*cc1 + 87208*cc2 + 47568*cc3 + 237840*cc4 + 236090*cc5 + 48559*cc6 + 33694*cc7 + 145677*cc8 + 94145*cc9 + 44595*cc10 + 101082*cc11 + 518293*o.cc12 = 0 ( 2) 44581*ii0 + 98129*ii1 + 340901*ii2 + 193278*ii3 + 96144*ii4 + 208134*ii5 + 27733*ii6 + 56496*ii7 + 472727*ii8 + 103091*o.ii9 = 0 ------------------------------------------------------------------------------ return | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- cc1 | .0003957 .0002856 1.39 0.166 -.0001641 .0009556 cc2 | .0000548 .0002046 0.27 0.789 -.0003461 .0004557 cc3 | .0005556 .0002751 2.02 0.043 .0000163 .0010948 cc4 | .0009013 .0001129 7.98 0.000 .00068 .0011226 cc5 | .0009292 .0001164 7.98 0.000 .000701 .0011574 cc6 | .0003177 .0002664 1.19 0.233 -.0002046 .0008399 cc7 | .0009946 .0003508 2.84 0.005 .000307 .0016822 cc8 | -.0006696 .000161 -4.16 0.000 -.0009851 -.0003541 cc9 | -.0041605 .0001988 -20.92 0.000 -.0045502 -.0037707 cc10 | .0002611 .0002857 0.91 0.361 -.0002988 .0008211 cc11 | -.0005411 .0002012 -2.69 0.007 -.0009354 -.0001467 cc12 | 0 (omitted) ii0 | .0001002 .0002989 0.34 0.738 -.0004857 .0006861 ii1 | .0004428 .000195 2.27 0.023 .0000607 .0008249 ii2 | .0002788 .0000955 2.92 0.004 .0000917 .000466 ii3 | .0002778 .0001318 2.11 0.035 .0000195 .0005361 ii4 | -.0001704 .0002131 -0.80 0.424 -.0005881 .0002474 ii5 | -.0001667 .0001314 -1.27 0.205 -.0004243 .0000909 ii6 | -.0009099 .0003944 -2.31 0.021 -.0016829 -.000137 ii7 | -.0009552 .000261 -3.66 0.000 -.0014667 -.0004437 ii8 | -.0001405 .0000786 -1.79 0.074 -.0002944 .0000135 ii9 | 0 (omitted) ------------------------------------------------------------------------------
Code:
input int(date _j) double return long marketcap byte industry str14 country 14252 295 -.029411764705882495 207874 3 "Austria" 14259 319 -.03891233005157064 552000 2 "Austria" 14266 339 -.025473071324599684 4299390 7 "Portugal" 14273 301 0 609427 8 "Portugal" 14280 327 . 130248 3 "Germany" 14287 319 -.08069414316702818 552000 2 "Germany" 14294 307 -.004160887656033322 228750 8 "France" 14301 337 0 46500 8 "France"
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