Hello, I'm running a fixed effects model with year dummies. I would also like to run a different version of the model with a lag on one of the variables. When I run the original model, everything works out. I get this table:
xtreg totreprtabled difftwo noemplyeesw3cnt totrevenue totnetassetend totprgmrevnue totliabend othrsalwages i.year, fe robust
Fixed-effects (within) regression Number of obs = 747,838
Group variable: ein Number of groups = 313,138
R-sq: Obs per group:
within = 0.0027 min = 1
between = 0.3574 avg = 2.4
overall = 0.2461 max = 3
F(9,313137) = 35.55
corr(u_i, Xb) = 0.2006 Prob > F = 0.0000
(Std. Err. adjusted for 313,138 clusters in ein)
---------------------------------------------------------------------------------
| Robust
totreprtabled | Coef. Std. Err. t P>|t| [95% Conf. Interval]
----------------+----------------------------------------------------------------
difftwo | 15374.22 4112.481 3.74 0.000 7313.872 23434.57
noemplyeesw3cnt | .672055 .5552385 1.21 0.226 -.4161968 1.760307
totrevenue | 8.35e-06 .0000163 0.51 0.609 -.0000237 .0000404
totnetassetend | .0002926 .0001683 1.74 0.082 -.0000373 .0006224
totprgmrevnue | .0005129 .0002528 2.03 0.042 .0000174 .0010083
totliabend | .0000966 .000178 0.54 0.587 -.0002522 .0004454
othrsalwages | .0108264 .0021668 5.00 0.000 .0065795 .0150733
|
year |
2013 | 5232.222 511.6966 10.23 0.000 4229.312 6235.133
2014 | 18496.99 3616.263 5.11 0.000 11409.22 25584.76
|
_cons | 139248.7 4706.256 29.59 0.000 130024.6 148472.9
----------------+----------------------------------------------------------------
sigma_u | 730233.74
sigma_e | 845176.67
rho | .42742571 (fraction of variance due to u_i)
---------------------------------------------------------------------------------
Everything is as it should be. When I run the model with a lag on the variable difftwo, I have a problem with the output.
xtreg totreprtabled L.difftwo noemplyeesw3cnt totrevenue totnetassetend totprgmrevnue totliabend othrsalwages i.year, fe robust
Fixed-effects (within) regression Number of obs = 422,215
Group variable: ein Number of groups = 253,714
R-sq: Obs per group:
within = 0.0011 min = 1
between = 0.2780 avg = 1.7
overall = 0.1993 max = 2
F(0,253713) = .
corr(u_i, Xb) = 0.2049 Prob > F = .
(Std. Err. adjusted for 253,714 clusters in ein)
---------------------------------------------------------------------------------
| Robust
totreprtabled | Coef. Std. Err. t P>|t| [95% Conf. Interval]
----------------+----------------------------------------------------------------
difftwo |
L1. | 7210.704 . . . . .
|
noemplyeesw3cnt | 1.647141 . . . . .
totrevenue | .0000835 . . . . .
totnetassetend | .0003486 . . . . .
totprgmrevnue | .0006594 . . . . .
totliabend | .0001677 . . . . .
othrsalwages | .0082254 . . . . .
|
year |
2014 | 12662.6 . . . . .
|
_cons | 164728.3 . . . . .
----------------+----------------------------------------------------------------
sigma_u | 965074.59
sigma_e | 1162071.5
rho | .40817665 (fraction of variance due to u_i)
---------------------------------------------------------------------------------
Its missing all this key information.
Any ideas whats wrong?
Here's a sample of the data. the variable difftwo is a binary indicator. There are no ones in this small sample. its a data set with 1,000,000 observations and about 10,000 ones identified. There is also no data for the year 2011 on this variable.
[CODE]
* Example generated by -dataex-. To install: ssc install dataex
clear
input long ein float(year difftwo)
10018922 2011 .
10018922 2012 0
10018922 2013 0
10018922 2014 0
10018923 2012 0
10018923 2013 0
10018923 2014 0
10018927 2011 .
10018927 2012 0
10018927 2013 0
10018927 2014 0
10018930 2011 .
10018930 2012 0
10018930 2013 0
10018930 2014 0
10019705 2011 .
10019705 2012 0
10019705 2013 0
10019705 2014 0
10021545 2011 .
10021545 2012 0
10021545 2013 0
10021545 2014 0
10022320 2011 .
10022320 2012 0
10022320 2013 0
10022320 2014 0
10022415 2011 .
10022415 2013 0
10022415 2014 0
10024245 2011 .
10024245 2012 0
10024245 2013 0
10024455 2011 .
10024455 2012 0
10024455 2013 0
10024455 2014 0
10024645 2011 .
10024645 2012 0
10024645 2013 0
10024645 2014 0
10027741 2011 .
10027741 2013 0
10027741 2014 0
10027746 2011 .
10027746 2012 0
10027746 2013 0
10027746 2014 0
10027747 2011 .
10027747 2012 0
10027747 2014 0
10027748 2011 .
10027748 2012 0
10027748 2013 0
10027748 2014 0
10027751 2011 .
10027751 2012 0
10027751 2013 0
10027751 2014 0
10028980 2012 0
10028980 2013 0
10029480 2011 .
10029480 2012 0
10029480 2013 0
10032215 2011 .
10032215 2012 0
10032215 2013 0
10032215 2014 0
10039552 2011 .
10039552 2012 0
10039552 2013 0
10039552 2014 0
10043280 2011 .
10043280 2012 0
10043280 2013 0
10043280 2014 0
10043285 2011 .
10043285 2012 0
10043285 2013 0
10043285 2014 0
10052260 2012 0
10052260 2013 0
10055140 2011 .
10055140 2012 0
10055140 2013 0
10055140 2014 0
10056837 2011 .
10056837 2012 0
10056837 2013 0
10056837 2014 0
10061300 2011 .
10061300 2012 0
10061300 2013 0
10061310 2011 .
10061310 2012 0
10061310 2013 0
10061310 2014 0
10063057 2011 .
10063057 2012 0
10063057 2013 0
xtreg totreprtabled difftwo noemplyeesw3cnt totrevenue totnetassetend totprgmrevnue totliabend othrsalwages i.year, fe robust
Fixed-effects (within) regression Number of obs = 747,838
Group variable: ein Number of groups = 313,138
R-sq: Obs per group:
within = 0.0027 min = 1
between = 0.3574 avg = 2.4
overall = 0.2461 max = 3
F(9,313137) = 35.55
corr(u_i, Xb) = 0.2006 Prob > F = 0.0000
(Std. Err. adjusted for 313,138 clusters in ein)
---------------------------------------------------------------------------------
| Robust
totreprtabled | Coef. Std. Err. t P>|t| [95% Conf. Interval]
----------------+----------------------------------------------------------------
difftwo | 15374.22 4112.481 3.74 0.000 7313.872 23434.57
noemplyeesw3cnt | .672055 .5552385 1.21 0.226 -.4161968 1.760307
totrevenue | 8.35e-06 .0000163 0.51 0.609 -.0000237 .0000404
totnetassetend | .0002926 .0001683 1.74 0.082 -.0000373 .0006224
totprgmrevnue | .0005129 .0002528 2.03 0.042 .0000174 .0010083
totliabend | .0000966 .000178 0.54 0.587 -.0002522 .0004454
othrsalwages | .0108264 .0021668 5.00 0.000 .0065795 .0150733
|
year |
2013 | 5232.222 511.6966 10.23 0.000 4229.312 6235.133
2014 | 18496.99 3616.263 5.11 0.000 11409.22 25584.76
|
_cons | 139248.7 4706.256 29.59 0.000 130024.6 148472.9
----------------+----------------------------------------------------------------
sigma_u | 730233.74
sigma_e | 845176.67
rho | .42742571 (fraction of variance due to u_i)
---------------------------------------------------------------------------------
Everything is as it should be. When I run the model with a lag on the variable difftwo, I have a problem with the output.
xtreg totreprtabled L.difftwo noemplyeesw3cnt totrevenue totnetassetend totprgmrevnue totliabend othrsalwages i.year, fe robust
Fixed-effects (within) regression Number of obs = 422,215
Group variable: ein Number of groups = 253,714
R-sq: Obs per group:
within = 0.0011 min = 1
between = 0.2780 avg = 1.7
overall = 0.1993 max = 2
F(0,253713) = .
corr(u_i, Xb) = 0.2049 Prob > F = .
(Std. Err. adjusted for 253,714 clusters in ein)
---------------------------------------------------------------------------------
| Robust
totreprtabled | Coef. Std. Err. t P>|t| [95% Conf. Interval]
----------------+----------------------------------------------------------------
difftwo |
L1. | 7210.704 . . . . .
|
noemplyeesw3cnt | 1.647141 . . . . .
totrevenue | .0000835 . . . . .
totnetassetend | .0003486 . . . . .
totprgmrevnue | .0006594 . . . . .
totliabend | .0001677 . . . . .
othrsalwages | .0082254 . . . . .
|
year |
2014 | 12662.6 . . . . .
|
_cons | 164728.3 . . . . .
----------------+----------------------------------------------------------------
sigma_u | 965074.59
sigma_e | 1162071.5
rho | .40817665 (fraction of variance due to u_i)
---------------------------------------------------------------------------------
Its missing all this key information.
Any ideas whats wrong?
Here's a sample of the data. the variable difftwo is a binary indicator. There are no ones in this small sample. its a data set with 1,000,000 observations and about 10,000 ones identified. There is also no data for the year 2011 on this variable.
[CODE]
* Example generated by -dataex-. To install: ssc install dataex
clear
input long ein float(year difftwo)
10018922 2011 .
10018922 2012 0
10018922 2013 0
10018922 2014 0
10018923 2012 0
10018923 2013 0
10018923 2014 0
10018927 2011 .
10018927 2012 0
10018927 2013 0
10018927 2014 0
10018930 2011 .
10018930 2012 0
10018930 2013 0
10018930 2014 0
10019705 2011 .
10019705 2012 0
10019705 2013 0
10019705 2014 0
10021545 2011 .
10021545 2012 0
10021545 2013 0
10021545 2014 0
10022320 2011 .
10022320 2012 0
10022320 2013 0
10022320 2014 0
10022415 2011 .
10022415 2013 0
10022415 2014 0
10024245 2011 .
10024245 2012 0
10024245 2013 0
10024455 2011 .
10024455 2012 0
10024455 2013 0
10024455 2014 0
10024645 2011 .
10024645 2012 0
10024645 2013 0
10024645 2014 0
10027741 2011 .
10027741 2013 0
10027741 2014 0
10027746 2011 .
10027746 2012 0
10027746 2013 0
10027746 2014 0
10027747 2011 .
10027747 2012 0
10027747 2014 0
10027748 2011 .
10027748 2012 0
10027748 2013 0
10027748 2014 0
10027751 2011 .
10027751 2012 0
10027751 2013 0
10027751 2014 0
10028980 2012 0
10028980 2013 0
10029480 2011 .
10029480 2012 0
10029480 2013 0
10032215 2011 .
10032215 2012 0
10032215 2013 0
10032215 2014 0
10039552 2011 .
10039552 2012 0
10039552 2013 0
10039552 2014 0
10043280 2011 .
10043280 2012 0
10043280 2013 0
10043280 2014 0
10043285 2011 .
10043285 2012 0
10043285 2013 0
10043285 2014 0
10052260 2012 0
10052260 2013 0
10055140 2011 .
10055140 2012 0
10055140 2013 0
10055140 2014 0
10056837 2011 .
10056837 2012 0
10056837 2013 0
10056837 2014 0
10061300 2011 .
10061300 2012 0
10061300 2013 0
10061310 2011 .
10061310 2012 0
10061310 2013 0
10061310 2014 0
10063057 2011 .
10063057 2012 0
10063057 2013 0
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