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1. The document provides output from Stata statistical software analyzing panel data with 3 groups and 20 time periods. It estimates several regressions using fixed effects, random effects, and dummy variables. 2. The key results include that the within R-squared is 0.2764 and the total SCR from separate regressions by group is 108.17. 3. It also reports that the random effects regression yields a coefficient of -0.0410612 for the variable x and the fixed effects regression produces a similar coefficient of -0.0410612 for x.

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Oumaima Radouan
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151 views6 pages

Exam

1. The document provides output from Stata statistical software analyzing panel data with 3 groups and 20 time periods. It estimates several regressions using fixed effects, random effects, and dummy variables. 2. The key results include that the within R-squared is 0.2764 and the total SCR from separate regressions by group is 108.17. 3. It also reports that the random effects regression yields a coefficient of -0.0410612 for the variable x and the fixed effects regression produces a similar coefficient of -0.0410612 for x.

Uploaded by

Oumaima Radouan
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

dec25 Thursday February 22 [Link] 2024 Page 1

___ ____ ____ ____ ____(R)


/__ / ____/ / ____/
___/ / /___/ / /___/
Statistics/Data analysis

___ ____ ____ ____ ____ ©


/__ / ____/ / ____/ 17.0
___/ / /___/ / /___/ MP—Parallel Edition

Statistics and Data Science Copyright 1985-2021 StataCorp LLC


StataCorp
4905 Lakeway Drive
College Station, Texas 77845 USA
800-STATA-PC [Link]
979-696-4600 stata@[Link]

Stata license: Unlimited-user 64-core network perpetual


Serial number: 18461036
Licensed to: TEAM BTCR
TEAM BTCR

Notes:
1. Unicode is supported; see help unicode_advice.
2. More than 2 billion observations are allowed; see help obs_advice.
3. Maximum number of variables is set to 5,000; see help set_maxvar.
4. New update available; type -update all-

1 . use "C:\Users\Issay\Desktop\[Link]"

2 . do "C:\Users\Issay\Desktop\stata_panel\[Link]"

3 . *calcul de SCR1 non contraint estimation equation par equation


4 . set more off

5 . local SCR1=0

6 . scalar N=3

7 . scalar T=20

8 . scalar k=1

9 . forvalues i == 1/3 {
2. reg y x if country == `i'
3. local SCR1=`SCR1'+e(rss)
4. }

Source SS df MS Number of obs = 20


F(1, 18) = 13.30
Model 29.6496894 1 29.6496894 Prob > F = 0.0018
Residual 40.1398106 18 2.22998948 R-squared = 0.4248
Adj R-squared = 0.3929
Total 69.7895 19 3.67313158 Root MSE = 1.4933

y Coefficient Std. err. t P>|t| [95% conf. interval]

x -.0465907 .0127774 -3.65 0.002 -.073435 -.0197465


_cons 12.55426 .9902337 12.68 0.000 10.47386 14.63466

Source SS df MS Number of obs = 20


F(1, 18) = 0.09
Model .233723186 1 .233723186 Prob > F = 0.7716
Residual 48.4582782 18 2.69212656 R-squared = 0.0048
Adj R-squared = -0.0505
Total 48.6920014 19 2.56273691 Root MSE = 1.6408

y Coefficient Std. err. t P>|t| [95% conf. interval]

x -.0065804 .0223332 -0.29 0.772 -.0535006 .0403398


_cons 9.342452 1.810701 5.16 0.000 5.538311 13.14659
dec25 Thursday February 22 [Link] 2024 Page 2

Source SS df MS Number of obs = 20


F(1, 18) = 21.31
Model 23.1677281 1 23.1677281 Prob > F = 0.0002
Residual 19.5722722 18 1.08734846 R-squared = 0.5421
Adj R-squared = 0.5166
Total 42.7400003 19 2.2494737 Root MSE = 1.0428

y Coefficient Std. err. t P>|t| [95% conf. interval]

x -.0560636 .0121457 -4.62 0.000 -.0815809 -.0305464


_cons 11.52442 1.113194 10.35 0.000 9.185687 13.86316

10 . display %12.2f `SCR1'


108.17

11 .
end of do-file

12 . regress y x

Source SS df MS Number of obs = 60


F(1, 58) = 29.42
Model 82.4039428 1 82.4039428 Prob > F = 0.0000
Residual 162.441891 58 2.80072226 R-squared = 0.3366
Adj R-squared = 0.3251
Total 244.845834 59 4.14992939 Root MSE = 1.6735

y Coefficient Std. err. t P>|t| [95% conf. interval]

x -.0530767 .0097851 -5.42 0.000 -.0726637 -.0334897


_cons 12.43941 .8182869 15.20 0.000 10.80143 14.07739

13 . xtset country years

Panel variable: country (strongly balanced)


Time variable: years, 1980 to 1999
Delta: 1 unit

14 . xtreg y x,fe

Fixed-effects (within) regression Number of obs = 60


Group variable: country Number of groups = 3

R-squared: Obs per group:


Within = 0.2764 min = 20
Between = 0.9253 avg = 20.0
Overall = 0.3366 max = 20

F(1,56) = 21.39
corr(u_i, Xb) = 0.2906 Prob > F = 0.0000

y Coefficient Std. err. t P>|t| [95% conf. interval]

x -.0410612 .0088786 -4.62 0.000 -.0588472 -.0232751


_cons 11.47026 .739982 15.50 0.000 9.987895 12.95262

sigma_u 1.118042
sigma_e 1.4433607
rho .37500825 (fraction of variance due to u_i)

F test that all u_i=0: F(2, 56) = 10.99 Prob > F = 0.0001
dec25 Thursday February 22 [Link] 2024 Page 3

15 . xtreg y x [Link]

Random-effects GLS regression Number of obs = 60


Group variable: country Number of groups = 3

R-squared: Obs per group:


Within = 0.2764 min = 20
Between = 1.0000 avg = 20.0
Overall = 0.5235 max = 20

Wald chi2(3) = 61.53


corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

y Coefficient Std. err. z P>|z| [95% conf. interval]

x -.0410612 .0088786 -4.62 0.000 -.058463 -.0236593

country
can -.0707716 .4599927 -0.15 0.878 -.9723408 .8307976
usa -1.970921 .4798008 -4.11 0.000 -2.911314 -1.030529

_cons 12.15082 .7237342 16.79 0.000 10.73233 13.56931

sigma_u 0
sigma_e 1.4433607
rho 0 (fraction of variance due to u_i)

16 . tabulate country,gen(dum)

country Freq. Percent Cum.

RU 20 33.33 33.33
can 20 33.33 66.67
usa 20 33.33 100.00

Total 60 100.00

17 . regress x y dum1 dum2 dum3,noconstant

Source SS df MS Number of obs = 60


F(4, 56) = 293.18
Model 400473.288 4 100118.322 Prob > F = 0.0000
Residual 19123.6613 56 341.493951 R-squared = 0.9544
Adj R-squared = 0.9512
Total 419596.949 60 6993.28248 Root MSE = 18.48

x Coefficient Std. err. t P>|t| [95% conf. interval]

y -6.730765 1.455392 -4.62 0.000 -9.646265 -3.815264


dum1 134.5802 13.95015 9.65 0.000 106.6346 162.5257
dum2 138.7603 13.48525 10.29 0.000 111.7461 165.7745
dum3 133.37 10.32314 12.92 0.000 112.6902 154.0497

18 . regress x y,re
option re not allowed
r(198);
dec25 Thursday February 22 [Link] 2024 Page 4

19 . xtreg x y,re

Random-effects GLS regression Number of obs = 60


Group variable: country Number of groups = 3

R-squared: Obs per group:


Within = 0.2764 min = 20
Between = 0.9253 avg = 20.0
Overall = 0.3366 max = 20

Wald chi2(1) = 29.42


corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

x Coefficient Std. err. z P>|z| [95% conf. interval]

y -6.340905 1.168994 -5.42 0.000 -8.632091 -4.049719


_cons 132.3895 9.825056 13.47 0.000 113.1328 151.6463

sigma_u 0
sigma_e 18.479555
rho 0 (fraction of variance due to u_i)

20 . xtreg y x,fe

Fixed-effects (within) regression Number of obs = 60


Group variable: country Number of groups = 3

R-squared: Obs per group:


Within = 0.2764 min = 20
Between = 0.9253 avg = 20.0
Overall = 0.3366 max = 20

F(1,56) = 21.39
corr(u_i, Xb) = 0.2906 Prob > F = 0.0000

y Coefficient Std. err. t P>|t| [95% conf. interval]

x -.0410612 .0088786 -4.62 0.000 -.0588472 -.0232751


_cons 11.47026 .739982 15.50 0.000 9.987895 12.95262

sigma_u 1.118042
sigma_e 1.4433607
rho .37500825 (fraction of variance due to u_i)

F test that all u_i=0: F(2, 56) = 10.99 Prob > F = 0.0001

21 . est store fe

22 . xtreg x y,re

Random-effects GLS regression Number of obs = 60


Group variable: country Number of groups = 3

R-squared: Obs per group:


Within = 0.2764 min = 20
Between = 0.9253 avg = 20.0
Overall = 0.3366 max = 20

Wald chi2(1) = 29.42


corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
dec25 Thursday February 22 [Link] 2024 Page 5

x Coefficient Std. err. z P>|z| [95% conf. interval]

y -6.340905 1.168994 -5.42 0.000 -8.632091 -4.049719


_cons 132.3895 9.825056 13.47 0.000 113.1328 151.6463

sigma_u 0
sigma_e 18.479555
rho 0 (fraction of variance due to u_i)

23 . est store re

24 . hausman fe re,sigmamore
no coefficients in common; specify equations(matchlist)
for problems with different equation names.
r(498);

25 . drop _est_fe _est_re

26 . xtreg y x,fe

Fixed-effects (within) regression Number of obs = 60


Group variable: country Number of groups = 3

R-squared: Obs per group:


Within = 0.2764 min = 20
Between = 0.9253 avg = 20.0
Overall = 0.3366 max = 20

F(1,56) = 21.39
corr(u_i, Xb) = 0.2906 Prob > F = 0.0000

y Coefficient Std. err. t P>|t| [95% conf. interval]

x -.0410612 .0088786 -4.62 0.000 -.0588472 -.0232751


_cons 11.47026 .739982 15.50 0.000 9.987895 12.95262

sigma_u 1.118042
sigma_e 1.4433607
rho .37500825 (fraction of variance due to u_i)

F test that all u_i=0: F(2, 56) = 10.99 Prob > F = 0.0001

27 . est store fe

28 . xtreg x y,re

Random-effects GLS regression Number of obs = 60


Group variable: country Number of groups = 3

R-squared: Obs per group:


Within = 0.2764 min = 20
Between = 0.9253 avg = 20.0
Overall = 0.3366 max = 20

Wald chi2(1) = 29.42


corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

x Coefficient Std. err. z P>|z| [95% conf. interval]

y -6.340905 1.168994 -5.42 0.000 -8.632091 -4.049719


_cons 132.3895 9.825056 13.47 0.000 113.1328 151.6463

sigma_u 0
sigma_e 18.479555
rho 0 (fraction of variance due to u_i)
dec25 Thursday February 22 [Link] 2024 Page 6

29 . est store re

30 . hausman fe re,sigmamore
no coefficients in common; specify equations(matchlist)
for problems with different equation names.
r(498);

31 . hausman fe re
no coefficients in common; specify equations(matchlist)
for problems with different equation names.
r(498);

32 . hausman _est_fe _est_re ,sigmamore


estimation result _est_fe not found
r(111);

33 . drop _est_fe _est_re

34 .

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