Hi all,
I have an issue of getting the estimated coefficient when using xtdcce2, which is written by Jan Ditzen (2016). This comment is supposed to give me the estimate coefficients estimated by Common Correlation Estimation (CCE), which is proposed by Hashem Pesaran (2016). However, "xtdcce2" yield one of the coefficients (i.e., lmetrostock) to be "zero" and its standard error is also zero. I don't understand how that is the case.The following is the result from using this code:
Dynamic Common Correlated Effects - Mean Group
Panel Variable (i): fips Number of obs = 1494
Time Variable (t): year Number of groups = 146
Obs per group:
min = 1
avg = 11
max = 11
Degrees of freedom per country:
in mean group estimation = 5.2328767 F( 730, 34)= 0.57
with cross-sectional averages = 5.2328767 Prob > F = 0.99
Number of R-squared = 0.96
cross sectional lags = 0 Adj. R-squared = 0.96
variables in mean group regression = 730 Root MSE = 0.06
variables partialled out = 730
CD Statistic = 8.11
p-value = 0.0000
------------------------------------------------------------------------------------------
logcntemp| Coef. Std. Err. z P>|z| [95% Conf. Interval]
------------------------+-----------------------------------------------------------------
Mean Group Estimates: |
lmicrostock| 97.2162 35.0357 2.77 0.006 28.54753 165.8849
lownstock| .592534 .201532 2.94 0.003 .1975388 .9875295
lmetrostock| 0 0 . . 0 0
reduc| .00111 .001099 1.01 0.313 -.0010447 .0032649
_cons| 3.91515 1.63263 2.40 0.016 .7152482 7.11505
------------------------------------------------------------------------------------------
Mean Group Variables: lmicrostock lownstock lmetrostock reduc _cons
Cross Sectional Averaged Variables: logcntemp lmicrostock lownstock lmetrostock reduc
Thank you so much for your help! I really appreciate it.
Oudom
I have an issue of getting the estimated coefficient when using xtdcce2, which is written by Jan Ditzen (2016). This comment is supposed to give me the estimate coefficients estimated by Common Correlation Estimation (CCE), which is proposed by Hashem Pesaran (2016). However, "xtdcce2" yield one of the coefficients (i.e., lmetrostock) to be "zero" and its standard error is also zero. I don't understand how that is the case.The following is the result from using this code:
Dynamic Common Correlated Effects - Mean Group
Panel Variable (i): fips Number of obs = 1494
Time Variable (t): year Number of groups = 146
Obs per group:
min = 1
avg = 11
max = 11
Degrees of freedom per country:
in mean group estimation = 5.2328767 F( 730, 34)= 0.57
with cross-sectional averages = 5.2328767 Prob > F = 0.99
Number of R-squared = 0.96
cross sectional lags = 0 Adj. R-squared = 0.96
variables in mean group regression = 730 Root MSE = 0.06
variables partialled out = 730
CD Statistic = 8.11
p-value = 0.0000
------------------------------------------------------------------------------------------
logcntemp| Coef. Std. Err. z P>|z| [95% Conf. Interval]
------------------------+-----------------------------------------------------------------
Mean Group Estimates: |
lmicrostock| 97.2162 35.0357 2.77 0.006 28.54753 165.8849
lownstock| .592534 .201532 2.94 0.003 .1975388 .9875295
lmetrostock| 0 0 . . 0 0
reduc| .00111 .001099 1.01 0.313 -.0010447 .0032649
_cons| 3.91515 1.63263 2.40 0.016 .7152482 7.11505
------------------------------------------------------------------------------------------
Mean Group Variables: lmicrostock lownstock lmetrostock reduc _cons
Cross Sectional Averaged Variables: logcntemp lmicrostock lownstock lmetrostock reduc
Thank you so much for your help! I really appreciate it.
Oudom
