----------------------------------------------------------------------------------------------------------- name: log: C:\Users\Lee\Documents\panel_example.log log type: text opened on: 12 Sep 2011, 16:12:29 . describe Contains data from http://www.stata-press.com/data/r11/nlswork.dta obs: 28,534 National Longitudinal Survey. Young Women 14-26 years of age in 1968 vars: 21 7 Dec 2008 17:02 size: 1,055,758 (98.0% of memory free) ----------------------------------------------------------------------------------------------------------- storage display value variable name type format label variable label ----------------------------------------------------------------------------------------------------------- idcode int %8.0g NLS ID year byte %8.0g interview year birth_yr byte %8.0g birth year age byte %8.0g age in current year race byte %8.0g 1=white, 2=black, 3=other msp byte %8.0g 1 if married, spouse present nev_mar byte %8.0g 1 if never married grade byte %8.0g current grade completed collgrad byte %8.0g 1 if college graduate not_smsa byte %8.0g 1 if not SMSA c_city byte %8.0g 1 if central city south byte %8.0g 1 if south ind_code byte %8.0g industry of employment occ_code byte %8.0g occupation union byte %8.0g 1 if union wks_ue byte %8.0g weeks unemployed last year ttl_exp float %9.0g total work experience tenure float %9.0g job tenure, in years hours int %8.0g usual hours worked wks_work int %8.0g weeks worked last year ln_wage float %9.0g ln(wage/GNP deflator) ----------------------------------------------------------------------------------------------------------- Sorted by: idcode year . . tabulate race 1=white, | 2=black, | 3=other | Freq. Percent Cum. ------------+----------------------------------- 1 | 20,180 70.72 70.72 2 | 8,051 28.22 98.94 3 | 303 1.06 100.00 ------------+----------------------------------- Total | 28,534 100.00 . tabulate occ_code occupation | Freq. Percent Cum. ------------+----------------------------------- 1 | 3,008 10.59 10.59 2 | 1,494 5.26 15.84 3 | 10,974 38.62 54.47 4 | 1,323 4.66 59.12 5 | 438 1.54 60.67 6 | 4,309 15.17 75.83 7 | 571 2.01 77.84 8 | 4,300 15.13 92.98 9 | 6 0.02 93.00 10 | 144 0.51 93.50 11 | 194 0.68 94.19 12 | 7 0.02 94.21 13 | 1,645 5.79 100.00 ------------+----------------------------------- Total | 28,413 100.00 . . summarize 2.race Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- 2.race | 28534 .2821546 .4500561 0 1 . by race, sort : summarize ln_wage grade collgrad ----------------------------------------------------------------------------------------------------------- -> race = 1 Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- ln_wage | 20180 1.714338 .4765987 0 5.263916 grade | 20179 12.77382 2.24853 0 18 collgrad | 20180 .1906838 .3928501 0 1 ----------------------------------------------------------------------------------------------------------- -> race = 2 Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- ln_wage | 8051 1.571552 .4648369 .0044871 4.029306 grade | 8050 11.9164 2.346935 0 18 collgrad | 8051 .1074401 .3096912 0 1 ----------------------------------------------------------------------------------------------------------- -> race = 3 Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- ln_wage | 303 1.795009 .5054575 .5911255 3.912023 grade | 303 12.83828 3.390225 0 18 collgrad | 303 .2706271 .4450187 0 1 . global xlist age c.age#c.age ttl_exp c.ttl_exp#c.ttl_exp tenure c.tenure#c.tenure 2.race not_smsa south . . qui xtreg ln_w $xlist, fe . estimates store fe . xtreg ln_w $xlist, fe vce(cluster idcode) note: 2.race omitted because of collinearity Fixed-effects (within) regression Number of obs = 28093 Group variable: idcode Number of groups = 4699 R-sq: within = 0.1727 Obs per group: min = 1 between = 0.3500 avg = 6.0 overall = 0.2625 max = 15 F(8,4698) = 273.86 corr(u_i, Xb) = 0.1935 Prob > F = 0.0000 (Std. Err. adjusted for 4699 clusters in idcode) ------------------------------------------------------------------------------ | Robust ln_wage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- age | .0359987 .0052407 6.87 0.000 .0257244 .046273 | c.age#c.age | -.000723 .0000845 -8.56 0.000 -.0008887 -.0005573 | ttl_exp | .0334668 .004069 8.22 0.000 .0254896 .0414439 | c.ttl_exp#| c.ttl_exp | .0002163 .0001763 1.23 0.220 -.0001294 .0005619 | tenure | .0357539 .0024683 14.49 0.000 .0309148 .040593 | c.tenure#| c.tenure | -.0019701 .0001696 -11.62 0.000 -.0023026 -.0016376 | 2.race | (omitted) not_smsa | -.0890108 .0137629 -6.47 0.000 -.1159925 -.062029 south | -.0606309 .0163366 -3.71 0.000 -.0926583 -.0286035 _cons | 1.037301 .0739644 14.02 0.000 .892296 1.182306 -------------+---------------------------------------------------------------- sigma_u | .35561054 sigma_e | .29068923 rho | .59944731 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . estimates store fe_cluster . qui xtreg ln_w $xlist, be . estimates store be . qui xtreg ln_w $xlist, re . predict alpha, u (441 missing values generated) . summarize alpha, detail u[idcode] ------------------------------------------------------------- Percentiles Smallest 1% -.5961989 -1.341182 5% -.4000508 -1.341182 10% -.3044341 -1.341182 Obs 28093 25% -.1790428 -1.341182 Sum of Wgt. 28093 50% -.0275422 Mean -.0066589 Largest Std. Dev. .2600524 75% .1501835 1.304894 90% .3285468 1.304894 Variance .0676272 95% .4447758 1.304894 Skewness .3167209 99% .691463 1.304894 Kurtosis 3.927976 . xttest0 Breusch and Pagan Lagrangian multiplier test for random effects ln_wage[idcode,t] = Xb + u[idcode] + e[idcode,t] Estimated results: | Var sd = sqrt(Var) ---------+----------------------------- ln_wage | .2283214 .4778299 e | .0845002 .2906892 u | .0846774 .2909938 Test: Var(u) = 0 chibar2(01) = 18433.56 Prob > chibar2 = 0.0000 . estimates store re . qui reg ln_w grade $xlist, vce(cluster idcode) . estimates store ols . estimates table fe fe_cluster be re ols, t(%12.3f) b(%12.5f) stats(r2 rss aic) ----------------------------------------------------------------------------------------- Variable | fe fe_cluster be re ols -------------+--------------------------------------------------------------------------- age | 0.03600 0.03600 0.06685 0.03848 0.03860 | 10.630 6.869 7.064 12.131 7.753 | c.age#c.age | -0.00072 -0.00072 -0.00113 -0.00076 -0.00071 | -13.575 -8.555 -7.272 -15.049 -8.443 | ttl_exp | 0.03347 0.03347 0.04422 0.03656 0.02113 | 11.286 8.225 7.234 14.695 5.786 | c.ttl_exp#| c.ttl_exp | 0.00022 0.00022 -0.00039 0.00011 0.00045 | 1.693 1.227 -1.098 0.903 2.117 | tenure | 0.03575 0.03575 0.06946 0.03840 0.04737 | 19.340 14.485 10.462 21.579 16.380 | c.tenure#| c.tenure | -0.00197 -0.00197 -0.00272 -0.00199 -0.00203 | -15.762 -11.616 -6.076 -16.479 -10.215 | 2.race | (omitted) (omitted) -0.10805 -0.11063 -0.06994 | -9.521 -10.148 -7.078 not_smsa | -0.08901 -0.08901 -0.23538 -0.14761 -0.17205 | -9.339 -6.467 -19.325 -19.734 -18.057 south | -0.06063 -0.06063 -0.11881 -0.09620 -0.10034 | -5.546 -3.711 -10.736 -12.462 -11.382 grade | 0.06292 | 30.311 _cons | 1.03730 1.03730 0.50068 1.04977 0.24728 | 21.364 14.024 3.786 23.256 3.511 -------------+--------------------------------------------------------------------------- r2 | 0.17267 0.17267 0.38909 0.37454 rss | 1976.12232 1976.12232 517.51194 4011.63592 aic | 5172.87252 5170.87252 2988.85008 . 25068.69251 ----------------------------------------------------------------------------------------- legend: b/t . . hausman fe re ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | fe re Difference S.E. -------------+---------------------------------------------------------------- age | .0359987 .03848 -.0024813 .0011859 c.age#c.age | -.000723 -.0007634 .0000404 .0000162 ttl_exp | .0334668 .0365569 -.0030901 .0016138 c.ttl_exp#~p | .0002163 .0001068 .0001094 .0000483 tenure | .0357539 .0383994 -.0026455 .0005012 c.tenure#c~e | -.0019701 -.0019915 .0000214 .0000319 not_smsa | -.0890108 -.1476143 .0586036 .0059076 south | -.0606309 -.0961963 .0355654 .0077411 ------------------------------------------------------------------------------ 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(8) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 478.67 Prob>chi2 = 0.0000 . log close name: log: C:\Users\Lee\Documents\panel_example.log log type: text closed on: 12 Sep 2011, 16:12:31 -----------------------------------------------------------------------------------------------------------