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  • 3 dimentional panel dataset and fixed effect control

    Hello, everyone,
    I have a very simple request:

    I am working the effect of specific crises on the sectoral GVA, and in the left sid, I have three dimention (s,i,t), while my shock is at the country level. I use the local projection of jorda (2005).
    and I want to see the effect of the crises on the sectoral GVA.

    I am not sure about the control fixed effect.
    since I have a three dimentional dataset, I have to control for country-sector and sector-time fe.



    1) is it correct that I doing?

    Code:
    xtscc gva_sector_0 l(0/1).recession L(1/2).institutions  L(1/2).bankcrisis L(1/2).debtcrisis L(1/2).inflation l(1/1).gva_sector_0 i.country_ind  i.time_ind, fe

    Or, becasue the country-sector fixed effect already drop by "xtset country_ind year ", I should not add it in the model?


    2) when I used the reghdfe insted of the xtscc, my point estimate is not the same, however I underestood that the only difference between these to is SE.

    Code:
    reghdfe gva_sector_0 l(0/1).recession L(1/2).institutions  L(1/2).bankcrisis L(1/2).debtcrisis L(1/2).inflation l(1/1).gva_sector_0 , absorb(i.country_ind    i.time_ind) vce(cluster ifscode)

    I am not sude how to add this control in the model.

    thanks in advance for any help.




    Code:
    egen country_ind=group(ifscode sector_id)
    egen country_time=group(ifscode year)
    egen time_ind=group(year sector_id)
    xtset country_ind year



    . dataex ifscode year sector_id GVA_sector institutions bankcrisis debtcrisis inflation r
    > ecession

    ----------------------- copy starting from the next line -----------------------
    Code:
    * Example generated by -dataex-. For more info, type help dataex
    clear
    input int ifscode double year float(sector_id gva_sector institutions bankcrisis debtcrisis inflation recession)
    111 1973 2      .875   1.56345 0 0  .06034303 0
    111 1973 3         1   1.56345 0 0  .06034303 0
    111 1973 1  .5555556   1.56345 0 0  .06034303 0
    111 1973 4  .3809524   1.56345 0 0  .06034303 0
    111 1974 1  .5555556   1.71753 0 0  .10467768 0
    111 1974 3         1   1.71753 0 0  .10467768 0
    111 1974 2         1   1.71753 0 0  .10467768 0
    111 1974 4  .3809524   1.71753 0 0  .10467768 0
    111 1975 3         1  1.778193 0 0  .08738732 0
    111 1975 1  .5555556  1.778193 0 0  .08738732 0
    111 1975 4  .3809524  1.778193 0 0  .08738732 0
    111 1975 2         1  1.778193 0 0  .08738732 0
    111 1976 4  .3809524 1.7866578 0 0  .05578494 0
    111 1976 3         1 1.7866578 0 0  .05578494 0
    111 1976 2         1 1.7866578 0 0  .05578494 0
    111 1976 1  .5555556 1.7866578 0 0  .05578494 0
    111 1977 4  .3809524   1.82757 0 0  .06284785 0
    111 1977 3         1   1.82757 0 0  .06284785 0
    111 1977 2         1   1.82757 0 0  .06284785 0
    111 1977 1  .5555556   1.82757 0 0  .06284785 0
    111 1978 2         1   1.82757 0 0  .07369137 0
    111 1978 3         1   1.82757 0 0  .07369137 0
    111 1978 5   .930355   1.82757 0 0  .07369137 0
    111 1978 4  .3809524   1.82757 0 0  .07369137 0
    111 1978 1  .5555556   1.82757 0 0  .07369137 0
    111 1979 1  .5555556 1.8261594 0 0  .09059691 0
    111 1979 4  .3809524 1.8261594 0 0  .09059691 0
    111 1979 2         1 1.8261594 0 0  .09059691 0
    111 1979 5   .930355 1.8261594 0 0  .09059691 0
    111 1979 3         1 1.8261594 0 0  .09059691 0
    111 1980 1  .7222222  1.826495 0 0   .1053605 0
    111 1980 5  .9355956  1.826495 0 0   .1053605 0
    111 1980 3         1  1.826495 0 0   .1053605 0
    111 1980 4  .3809524  1.826495 0 0   .1053605 0
    111 1980 2         1  1.826495 0 0   .1053605 0
    111 1981 1  .7222222 1.8737898 0 0  .09172463 0
    111 1981 3         1 1.8737898 0 0  .09172463 0
    111 1981 5  .9426824 1.8737898 0 0  .09172463 0
    111 1981 4  .3809524 1.8737898 0 0  .09172463 0
    111 1981 2         1 1.8737898 0 0  .09172463 0
    111 1982 3         1 1.8737898 0 0  .05859399 0
    111 1982 2         1 1.8737898 0 0  .05859399 0
    111 1982 4  .3809524 1.8737898 0 0  .05859399 0
    111 1982 1  .8333333 1.8737898 0 0  .05859399 0
    111 1982 5  .9430157 1.8737898 0 0  .05859399 0
    111 1983 5  .9478928 1.8709682 0 0  .04114723 0
    111 1983 4  .3809524 1.8709682 0 0  .04114723 0
    111 1983 2         1 1.8709682 0 0  .04114723 0
    111 1983 1  .8333333 1.8709682 0 0  .04114723 0
    111 1983 3         1 1.8709682 0 0  .04114723 0
    111 1984 1  .8333333  1.872379 1 0    .041394 0
    111 1984 5  .9499953  1.872379 1 0    .041394 0
    111 1984 3         1  1.872379 1 0    .041394 0
    111 1984 2         1  1.872379 1 0    .041394 0
    111 1984 4 .52380955  1.872379 1 0    .041394 0
    111 1985 4 .52380955  1.878022 0 0 .033131838 0
    111 1985 2         1  1.878022 0 0 .033131838 0
    111 1985 3         1  1.878022 0 0 .033131838 0
    111 1985 1  .8333333  1.878022 0 0 .033131838 0
    111 1985 5  .9546942  1.878022 0 0 .033131838 0
    111 1986 1  .8333333 1.8766114 0 0 .018535614 0
    111 1986 4 .52380955 1.8766114 0 0 .018535614 0
    111 1986 5  .9547356 1.8766114 0 0 .018535614 0
    111 1986 3         1 1.8766114 0 0 .018535614 0
    111 1986 2         1 1.8766114 0 0 .018535614 0
    111 1987 5  .9547356 1.8695575 0 0  .03263712 0
    111 1987 1  .8333333 1.8695575 0 0  .03263712 0
    111 1987 3         1 1.8695575 0 0  .03263712 0
    111 1987 4 .52380955 1.8695575 0 0  .03263712 0
    111 1987 2         1 1.8695575 0 0  .03263712 0
    111 1988 5  .9547356 1.8709682 0 0  .03603983 0
    111 1988 3         1 1.8709682 0 0  .03603983 0
    111 1988 4 .52380955 1.8709682 0 0  .03603983 0
    111 1988 2         1 1.8709682 0 0  .03603983 0
    111 1988 1  .8333333 1.8709682 0 0  .03603983 0
    111 1989 5  .9550222 1.8737898 0 0  .04223704 0
    111 1989 4 .52380955 1.8737898 0 0  .04223704 0
    111 1989 1  .8333333 1.8737898 0 0  .04223704 0
    111 1989 3  .9702252 1.8737898 0 0  .04223704 0
    111 1989 2         1 1.8737898 0 0  .04223704 0
    111 1990 3  .9702252 1.8752005 0 0  .04813337 0
    111 1990 5  .9555556 1.8752005 0 0  .04813337 0
    111 1990 2         1 1.8752005 0 0  .04813337 0
    111 1990 4 .52380955 1.8752005 0 0  .04813337 0
    111 1990 1  .8333333 1.8752005 0 0  .04813337 0
    111 1991 1  .8888889 1.8794328 0 0 .035735846 0
    111 1991 5  .9546667 1.8794328 0 0 .035735846 0
    111 1991 2         1 1.8794328 0 0 .035735846 0
    111 1991 4 .52380955 1.8794328 0 0 .035735846 0
    111 1991 3  .9702252 1.8794328 0 0 .035735846 0
    111 1992 1  .8888889 1.8808436 0 0  .02456188 0
    111 1992 2         1 1.8808436 0 0  .02456188 0
    111 1992 4 .52380955 1.8808436 0 0  .02456188 0
    111 1992 5  .9554667 1.8808436 0 0  .02456188 0
    111 1992 3  .9702252 1.8808436 0 0  .02456188 0
    111 1993 5     .9568 1.8688853 0 0  .02490139 0
    111 1993 2         1 1.8688853 0 0  .02490139 0
    111 1993 4 .52380955 1.8688853 0 0  .02490139 0
    111 1993 3  .9702252 1.8688853 0 0  .02490139 0
    111 1993 1  .8888889 1.8688853 0 0  .02490139 0
    end
    ------------------ copy up to and including the previous line ------------------

    Listed 100 out of 16968 observations
    Use the count() option to list more


  • #2
    looks like your missing a fixed effect in the reghdfe. what is "fe" getting in xtscc?

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