****************************************** PS2 time: 20091113 hour: 8:11:19 ****************************************** /********** var *** mean *** std *** min *** max **********/ UNIQID YEARCUR CHOICE12 AGE RACE DISPY CONSTANT __E_ 5005000.0 1974.5000 1.4796000 45.026000 0.12100000 40.850334 1.0000000 1.0000000 2886894.3 2.8724249 0.49960865 11.819192 0.32614358 20.343748 0.00000000 0.00000000 10000.000 1970.0000 1.0000000 21.000000 0.00000000 -18.406179 1.0000000 1.0000000 10000000. 1979.0000 2.0000000 69.000000 1.0000000 100.89070 1.0000000 1.0000000 Nobs used in computations: 10000.000 the data set is sorted by id + year UNIQID YEARCUR RACE 10000.000 1970.0000 1.0000000 10000.000 1971.0000 1.0000000 10000.000 1972.0000 1.0000000 10000.000 1973.0000 1.0000000 10000.000 1974.0000 1.0000000 10000.000 1975.0000 1.0000000 10000.000 1976.0000 1.0000000 10000.000 1977.0000 1.0000000 10000.000 1978.0000 1.0000000 10000.000 1979.0000 1.0000000 20000.000 1970.0000 0.00000000 20000.000 1971.0000 0.00000000 ********** PANEL DATA TEST of some vector operations ********** UNIQID RACE TESTIF#1ID 10000.000 . . 10000.000 1.0000000 1.0000000 10000.000 1.0000000 1.0000000 10000.000 1.0000000 1.0000000 10000.000 1.0000000 1.0000000 10000.000 1.0000000 1.0000000 10000.000 1.0000000 1.0000000 10000.000 1.0000000 1.0000000 10000.000 1.0000000 1.0000000 10000.000 1.0000000 1.0000000 20000.000 1.0000000 . 20000.000 0.00000000 1.0000000 20000.000 0.00000000 1.0000000 20000.000 0.00000000 1.0000000 20000.000 0.00000000 1.0000000 20000.000 0.00000000 1.0000000 20000.000 0.00000000 1.0000000 20000.000 0.00000000 1.0000000 20000.000 0.00000000 1.0000000 20000.000 0.00000000 1.0000000 30000.000 0.00000000 . ********** PANEL DATA LAG using vector operations ********** UNIQID YEARCUR RACE RACE_LAG 10000.000 1970.0000 1.0000000 . 10000.000 1971.0000 1.0000000 1.0000000 10000.000 1972.0000 1.0000000 1.0000000 10000.000 1973.0000 1.0000000 1.0000000 10000.000 1974.0000 1.0000000 1.0000000 10000.000 1975.0000 1.0000000 1.0000000 10000.000 1976.0000 1.0000000 1.0000000 10000.000 1977.0000 1.0000000 1.0000000 10000.000 1978.0000 1.0000000 1.0000000 10000.000 1979.0000 1.0000000 1.0000000 20000.000 1970.0000 0.00000000 . 20000.000 1971.0000 0.00000000 0.00000000 20000.000 1972.0000 0.00000000 0.00000000 20000.000 1973.0000 0.00000000 0.00000000 20000.000 1974.0000 0.00000000 0.00000000 20000.000 1975.0000 0.00000000 0.00000000 20000.000 1976.0000 0.00000000 0.00000000 20000.000 1977.0000 0.00000000 0.00000000 20000.000 1978.0000 0.00000000 0.00000000 20000.000 1979.0000 0.00000000 0.00000000 30000.000 1970.0000 0.00000000 . 10000.000 1.0000000 10000.000 1.0000000 20000.000 . 20000.000 0.00000000 ************************************************* *** now we use gpnl data a simulated dataset *** PS2 part 2 time: 20091113 hour: 8:11:20 ************************************************* /********** var *** mean *** std *** min *** max **********/ IID TID Y X1 X2 Z1 Z2 YB X1B X2B 25.500000 2.5000000 1.0693238 0.056146323 0.084151440 -0.083134838 -0.25423868 1.0693220 0.056146616 0.084154199 14.467083 1.1208396 0.82190091 0.99409299 1.9547708 0.77261739 1.5098416 0.68623451 0.70200759 1.6813076 1.0000000 1.0000000 -1.3549000 -2.7290001 -6.4997001 -2.0181999 -3.1094000 -0.65359998 -1.3706000 -5.4120002 50.000000 4.0000000 2.9008000 2.7635000 6.5373001 1.2646000 3.6630001 2.6231000 1.9552000 4.1097999 Nobs used in computations: 200.00000 NID used in computations: 50.000000 Average # obs by ID: 4.0000000 ******* PLAIN OLS ********** Valid cases: 200 Dependent variable: Y Missing cases: 0 Deletion method: None Total SS: 134.429 Degrees of freedom: 195 R-squared: 0.546 Rbar-squared: 0.537 Residual SS: 61.031 Std error of est: 0.559 F(4,195): 58.628 Probability of F: 0.000 Standard Prob Standardized Cor with Variable Estimate Error t-value >|t| Estimate Dep Var ------------------------------------------------------------------------------- CONSTANT 1.105343 0.040372 27.378953 0.000 --- --- X1 0.520558 0.052416 9.931232 0.000 0.629617 0.121921 X2 -0.362778 0.026924 -13.474266 0.000 -0.862814 -0.372089 X3 0.515696 0.087655 5.883247 0.000 0.484773 0.334951 X4 -0.032070 0.045435 -0.705838 0.481 -0.058913 0.240775 ******************************************** ID X1F X2F 1.0000000 0.33198499 0.63347510 1.0000000 0.26294499 1.7008748 1.0000000 -0.37451499 -1.1946250 1.0000000 -0.22041500 -1.1397249 2.0000000 -0.97882752 -0.62629623 2.0000000 0.78379254 0.78059871 2.0000000 0.48539250 0.080218746 2.0000000 -0.29035752 -0.23452123 3.0000000 0.32386250 1.8472925 3.0000000 -1.6094975 -2.4103876 3.0000000 1.2807425 0.49008250 3.0000000 0.0048924871 0.073012531 ******* FE BY PLAIN OLS ON DEMEANED VAR (WRONG VAR-COVAR and TESTS) ********** Valid cases: 200 Dependent variable: Y Missing cases: 0 Deletion method: None Total SS: 40.715 Degrees of freedom: 198 R-squared: 0.720 Rbar-squared: 0.719 Residual SS: 11.387 Std error of est: 0.240 F(2,198): 254.987 Probability of F: 0.000 Standard Prob Standardized Cor with Variable Estimate Error t-value >|t| Estimate Dep Var ------------------------------------------------------------------------------- X1 0.533965 0.026497 20.151788 0.000 0.830888 0.532811 X2 -0.328764 0.018703 -17.578076 0.000 -0.724770 -0.383049 ******* BETWEEN USING VASSILIS YB X1B X2B ********** ******* USING FULL DATASET WITH BAD DFreedom ******* Valid cases: 200 Dependent variable: Y Missing cases: 0 Deletion method: None Total SS: 93.713 Degrees of freedom: 195 R-squared: 0.475 Rbar-squared: 0.464 Residual SS: 49.217 Std error of est: 0.502 F(4,195): 44.074 Probability of F: 0.000 Standard Prob Standardized Cor with Variable Estimate Error t-value >|t| Estimate Dep Var ------------------------------------------------------------------------------- CONSTANT 1.108706 0.036414 30.447537 0.000 --- --- X1 0.496275 0.089185 5.564533 0.000 0.507682 -0.145349 X2 -0.369286 0.037142 -9.942560 0.000 -0.904770 -0.368392 X3 0.511996 0.079628 6.429830 0.000 0.576445 0.401163 X4 -0.025148 0.041511 -0.605822 0.545 -0.055330 0.288367 ******* Adjusting DFreedom by keeping only one obs by indiv ******* Valid cases: 50 Dependent variable: Y Missing cases: 0 Deletion method: None Total SS: 23.428 Degrees of freedom: 45 R-squared: 0.475 Rbar-squared: 0.428 Residual SS: 12.304 Std error of est: 0.523 F(4,45): 10.171 Probability of F: 0.000 Standard Prob Standardized Cor with Variable Estimate Error t-value >|t| Estimate Dep Var ------------------------------------------------------------------------------- CONSTANT 1.108706 0.075801 14.626523 0.000 --- --- X1 0.496275 0.185654 2.673115 0.010 0.507682 -0.145349 X2 -0.369286 0.077317 -4.776251 0.000 -0.904770 -0.368392 X3 0.511996 0.165759 3.088790 0.003 0.576445 0.401163 X4 -0.025148 0.086411 -0.291027 0.772 -0.055330 0.288367 ******** GLS using *partial* demeaning : Z*it=Zit-lambda_i.Z_(bar,i) ******* ******** GLS using one way error structure alpha_i+v_(it) ******* ******** where lambda_i(hat)=1-sqrt(s2_v/(T_i.s2_alpha+s2_v) ******* Valid cases: 200 Dependent variable: Y Missing cases: 0 Deletion method: None Total SS: 40.715 Degrees of freedom: 198 R-squared: 0.720 Rbar-squared: 0.719 Residual SS: 11.387 Std error of est: 0.240 F(2,198): 254.987 Probability of F: 0.000 Durbin-Watson: 2.543 Standard Prob Standardized Cor with Variable Estimate Error t-value >|t| Estimate Dep Var ------------------------------------------------------------------------------- X1 0.533965 0.026497 20.151788 0.000 0.830888 0.532811 X2 -0.328764 0.018703 -17.578076 0.000 -0.724770 -0.383049 not adj. se: 0.057509664 adj. sfe v1: 0.27737809 adj. sfe v2: 0.076938604 Valid cases: 50 Dependent variable: Y Missing cases: 0 Deletion method: None Total SS: 23.428 Degrees of freedom: 45 R-squared: 0.475 Rbar-squared: 0.428 Residual SS: 12.304 Std error of est: 0.523 F(4,45): 10.171 Probability of F: 0.000 Durbin-Watson: 1.388 Standard Prob Standardized Cor with Variable Estimate Error t-value >|t| Estimate Dep Var ------------------------------------------------------------------------------- CONSTANT 1.108706 0.075801 14.626523 0.000 --- --- X1 0.496275 0.185654 2.673115 0.010 0.507682 -0.145349 X2 -0.369286 0.077317 -4.776251 0.000 -0.904770 -0.368392 X3 0.511996 0.165759 3.088790 0.003 0.576445 0.401163 X4 -0.025148 0.086411 -0.291027 0.772 -0.055330 0.288367 adj. se between: 0.27342658 0.52290207 value of s2 for alpha: 0.25419192 lambda balanced period 4: 0.73477052 GLS using Lambda^hat Valid cases: 200 Dependent variable: Y Missing cases: 0 Deletion method: None Total SS: 47.308 Degrees of freedom: 195 R-squared: 0.684 Rbar-squared: 0.678 Residual SS: 14.938 Std error of est: 0.277 F(4,195): 105.638 Probability of F: 0.000 Durbin-Watson: 2.005 Standard Prob Standardized Cor with Variable Estimate Error t-value >|t| Estimate Dep Var ------------------------------------------------------------------------------- CONSTANT 1.099840 0.074993 14.665966 0.000 --- --- X1 0.532125 0.030163 17.641833 0.000 0.794589 0.463984 X2 -0.336411 0.020192 -16.660911 0.000 -0.753677 -0.380538 X3 0.517213 0.162837 3.176270 0.002 0.217378 0.149762 X4 -0.042943 0.083555 -0.513946 0.608 -0.035270 0.107659 ************************************************* ******** Hausman and Taylor specification ******* ******* FE BY PLAIN OLS ON DEMEANED VAR (WRONG VAR-COVAR and TESTS) ********** Valid cases: 200 Dependent variable: Y Missing cases: 0 Deletion method: None Total SS: 40.715 Degrees of freedom: 198 R-squared: 0.720 Rbar-squared: 0.719 Residual SS: 11.387 Std error of est: 0.240 F(2,198): 254.987 Probability of F: 0.000 Durbin-Watson: 2.543 Standard Prob Standardized Cor with Variable Estimate Error t-value >|t| Estimate Dep Var ------------------------------------------------------------------------------- X1 0.533965 0.026497 20.151788 0.000 0.830888 0.532811 X2 -0.328764 0.018703 -17.578076 0.000 -0.724770 -0.383049 HT with wrong ses VAR B SE CONST 1.05764 0.14357 Z1 1.04142 1.38978 Z2 -0.37739 0.94089 1.0000000 ******* FE BY PLAIN OLS ON DEMEANED VAR (WRONG VAR-COVAR and TESTS) ********** Valid cases: 200 Dependent variable: Y Missing cases: 0 Deletion method: None Total SS: 40.715 Degrees of freedom: 198 R-squared: 0.720 Rbar-squared: 0.719 Residual SS: 11.387 Std error of est: 0.240 F(2,198): 254.987 Probability of F: 0.000 Durbin-Watson: 2.543 Standard Prob Standardized Cor with Variable Estimate Error t-value >|t| Estimate Dep Var ------------------------------------------------------------------------------- X1 0.533965 0.026497 20.151788 0.000 0.830888 0.532811 X2 -0.328764 0.018703 -17.578076 0.000 -0.724770 -0.383049 WRONG VCOV 0.00070210020 -0.00020381748 -0.00020381748 0.00034980532 FIXED VCOV 0.00093929622 -0.00027267473 -0.00027267473 0.00046798279 b_X1 b_X2 GLS 0.53212528 -0.33641051 VCOV X1 x2 GLS 0.00090978840 -0.00027024794 -0.00027024794 0.00040770085 **** QUAD FORM GLS/FE: 1.1267458 **** PVALUE (>Chi2_df=2): 0.56928568 **** QUAD FORM GLS/BETW: 1.1557304 **** PVALUE (>Chi2_df=2): 0.56109492 **** QUAD FORM FE/BETW: 1.1566248 **** PVALUE (>Chi2_df=2): 0.56084405 **** QUAD FORM OLS/GLS: 8.2343601 **** PVALUE (>Chi2_df=5): 0.14378380 *********** COMPA ************ VAR OLS GLS BET FE HTAY TRUT ONE 1.1053 1.0998 1.1087 . 1.0576 1.0000 X1 0.5206 0.5321 0.4963 0.5340 0.5340 0.5000 X2 -0.3628 -0.3364 -0.3693 -0.3288 -0.3288 -0.3000 Z1 0.5157 0.5172 0.5120 . 1.0414 0.7000 Z2 -0.0321 -0.0429 -0.0251 . -0.3774 -0.2000 1.0000000 »