Dear all,
I'm having a Problem when testing for time fixed effects. My panel data includes three years:
sum year
Variable | Obs Mean Std. Dev. Min Max
-------------+---------------------------------------------------------
year | 1,221 2015 .8168311 2014 2016
I did the hausman test do test whether to use fixed or random effects:
. hausman fixed random
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fixed random Difference S.E.
-------------+----------------------------------------------------------------
shareholder | .0612042 -.1386216 .1998258 .0460368
partnership | -5.862131 -20.46098 14.59885 5.187308
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained from xtreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
Test: Ho: difference in coefficients not systematic
chi2(2) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 27.71
Prob>chi2 = 0.0000
After that I wanted to check for time fixed effects using:
xtreg $ylist $xlist i.year, fe
testparm i.year
However, in the results 2014 is missing:
. xtreg $ylist $xlist i.year, fe
Fixed-effects (within) regression Number of obs = 776
Group variable: id Number of groups = 401
R-sq: Obs per group:
within = 0.0170 min = 1
between = 0.3403 avg = 1.9
overall = 0.1771 max = 3
F(4,371) = 1.61
corr(u_i, Xb) = 0.3769 Prob > F = 0.1722
------------------------------------------------------------------------------
esgscore | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
shareholder | .0209226 .0558744 0.37 0.708 -.0889477 .1307929
partnership | -4.89243 5.504378 -0.89 0.375 -15.71612 5.931263
|
year |
2015 | 3.054609 1.9083 1.60 0.110 -.6978307 6.807049
2016 | 3.913033 1.956296 2.00 0.046 .0662144 7.759851
|
_cons | 45.99972 2.780761 16.54 0.000 40.53169 51.46775
-------------+----------------------------------------------------------------
sigma_u | 14.991157
sigma_e | 16.064203
rho | .46548851 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(400, 371) = 1.68 Prob > F = 0.0000
. testparm i.year
( 1) 2015.year = 0
( 2) 2016.year = 0
F( 2, 371) = 2.04
Prob > F = 0.1318
Anybody with an idea where the mistake might be? Thank you in advance!
I'm having a Problem when testing for time fixed effects. My panel data includes three years:
sum year
Variable | Obs Mean Std. Dev. Min Max
-------------+---------------------------------------------------------
year | 1,221 2015 .8168311 2014 2016
I did the hausman test do test whether to use fixed or random effects:
. hausman fixed random
---- Coefficients ----
| (b) (B) (b-B) sqrt(diag(V_b-V_B))
| fixed random Difference S.E.
-------------+----------------------------------------------------------------
shareholder | .0612042 -.1386216 .1998258 .0460368
partnership | -5.862131 -20.46098 14.59885 5.187308
------------------------------------------------------------------------------
b = consistent under Ho and Ha; obtained from xtreg
B = inconsistent under Ha, efficient under Ho; obtained from xtreg
Test: Ho: difference in coefficients not systematic
chi2(2) = (b-B)'[(V_b-V_B)^(-1)](b-B)
= 27.71
Prob>chi2 = 0.0000
After that I wanted to check for time fixed effects using:
xtreg $ylist $xlist i.year, fe
testparm i.year
However, in the results 2014 is missing:
. xtreg $ylist $xlist i.year, fe
Fixed-effects (within) regression Number of obs = 776
Group variable: id Number of groups = 401
R-sq: Obs per group:
within = 0.0170 min = 1
between = 0.3403 avg = 1.9
overall = 0.1771 max = 3
F(4,371) = 1.61
corr(u_i, Xb) = 0.3769 Prob > F = 0.1722
------------------------------------------------------------------------------
esgscore | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
shareholder | .0209226 .0558744 0.37 0.708 -.0889477 .1307929
partnership | -4.89243 5.504378 -0.89 0.375 -15.71612 5.931263
|
year |
2015 | 3.054609 1.9083 1.60 0.110 -.6978307 6.807049
2016 | 3.913033 1.956296 2.00 0.046 .0662144 7.759851
|
_cons | 45.99972 2.780761 16.54 0.000 40.53169 51.46775
-------------+----------------------------------------------------------------
sigma_u | 14.991157
sigma_e | 16.064203
rho | .46548851 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(400, 371) = 1.68 Prob > F = 0.0000
. testparm i.year
( 1) 2015.year = 0
( 2) 2016.year = 0
F( 2, 371) = 2.04
Prob > F = 0.1318
Anybody with an idea where the mistake might be? Thank you in advance!
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