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10 views

'invalid file specification' when running Monte Carlo simulation [migrated]

I programmed the monte carlo simulation down below. The simulation itself works, but I do not seem able to summarize it. When I run my full program, the do file automatically ends after the monte ...
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0answers
31 views

Different variance estimator for multilevel ordinal logistic regression in Stata and R

I estimate a multilevel ordinal logistic regression models in Stata and R, and receive different estimators for the variance and the covariance of the latent variable of the higher level. Among other ...
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0answers
13 views

Interacting lagged variable with dummy: factor variable and time series not allowed [migrated]

I am trying to run an Arellano-Bond regression to explore whether the impact on my dependent variable varies according to exchange rate regime, i.e. does economic growth differ when remittances go up ...
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0answers
28 views

Stata vs. R survival differences; weibull scale is different, problems predicting manually

I am trying to do some survival analysis in R and as a starting point, I want to make sure I can replicate a previous analysis. I notice differences and I will demonstrate them here. I feel like there ...
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1answer
36 views
+50

Maximum number of alternatives in a discrete choice model

We are modeling a discrete choice scenario, with alternative-specific coefficients. We also break the assumption of independence of irrelevant alternatives. To model this, we are using an ...
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16 views

How does one interpret a demeaned log interaction term?

I am having problems interpreting my regression equation. I want to know the effect of an increase in variable $x$ on $y$ for different values of $z$, but as it's in logs and the interaction term is ...
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0answers
16 views

Information criteria for ARIMA model: missing log-likelihood for null model

I am trying to fit an ARIMA model on the time series of exchange rate. I have tried several kinds of ARIMA specifications (MA(1), MA(1,2), ...) and I am evaluating the particular setting according to ...
1
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1answer
35 views

Hypothesis of probit model

I would like to know if we need to test the assumption of residuals' normality when we have probit model? And if this assumption is violated how can I correct it with Stata? In the case of Probit ...
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1answer
20 views

Difference between multilevel GLM and mixed linear models when the family is Gaussian and link function is Identity?

In Stata 13, there is now the new command "meglm" (multilevel generalized linear models) to analyse hierarchical models. My question is, what is the difference between the "meglm" with family of ...
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0answers
19 views

xtreg, re in STATA, which R2 to report? [duplicate]

After estimating the data using xtreg, re, I notice there're 3 different measures of R-squared, within, between, and overall R-2, so my question is, can I just report the overall R2 in this case since ...
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0answers
7 views

Use clustered S.E. or FE/RE for binary data in an experimental within-subject design?

I am analyzing a 2x2 experimental within-subjects-design, i.e. I have data from all subjects for all four possible treatment combinations. Lets say treatment X has states X1 and X2 and treatment Y ...
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1answer
36 views

DCC GARCH - specifying ARCH and GARCH parameter matrices in Stata

The command in Stata to estimate the DCC model of two variables is: mgarch dcc ( x1 x2=, noconstant) , arch(1) garch(1) distribution(t) $$ \begin{bmatrix} ...
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0answers
25 views

Help needed interpreting medeff results in stata

I am new to using the medeff function. I am looking for basic help in how to read the results I got from my analysis. I got the following results: 1) Because the ACME mean is insignificant, does ...
0
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1answer
61 views

What test(s) should I use to compare 2, non-normally distributed populations with unequal variances? (IV is 2 categories; DV is ordinal)

I'm a bit stumped as to what test(s) is/are most appropriate for the following scenario. I found a couple of similar questions but wasn't sure if the answers applied. For a report I am working on for ...
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1answer
37 views

Predicted probabilities from probit

Assume following probit model: $y_i$ = $\phi$($\beta_0$+$\beta_1x_1$+$\beta_2x_1^2$+$\beta_3d_1$+$\beta_4d_2$) where $d_1$ and $d_2$ are dummies or in Stata: ...
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0answers
15 views

Interaction syntax in Stata [migrated]

My question concerns the proper use of # versus ## in Stata for interacting categorical and dependent variables. Here is the ...
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0answers
42 views

Can p-value = <0.05 with CI that includes 0 using chi2 in Stata?

I am doing a pretty straightforward analysis in Stata comparing proportions of respondents in 2 groups (in this case, rural vs. urban) who agree with different questions on a survey. For one of the ...
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1answer
39 views

How to combine heckman selection and binary endogenous variable in a two-step way?

I want to fit a probit model with a binary endogenous variable and heckman sample selection problem, it's something like ...
2
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1answer
49 views

Mixing instruments in ivreg2 estimation in Stata

When using a 2sls estimation with ivreg2 with more than one endogenous variable, Stata necessarily -- as it seems to be -- instruments both endogenous variables ...
2
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1answer
38 views

Stability of univariate fractional polynomial models

I can't decide what is the best way to assess the stability of a higher order fractional polynomial model. To use an example I have been working on, I am analyzing a dataset with panel data selected ...
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0answers
45 views

Pooled OLS, fixed, random or mixed effects?

I am analysing a simple balanced panel data with the following variables: ...
0
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1answer
23 views

Negative marginal effects

I'm using Stata 13.1 on W8.1. I'm trying to estimate marginal effects (-seqlogitdecomp-) after -seqlogit-. Here the code: ...
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0answers
21 views

Intepretating DCC GARCH value on Stata

I am modelling the volatility and correlation of two assets using the DCC GARCH model on Stata. The DCC GARCH model is as follows: $$Q_t = (1-\alpha-\beta)R + \alpha \varepsilon_{t-1} ...
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0answers
12 views

Trying to get descriptive/summary statistics by 2 levels/categories [migrated]

I have a bit of a rudimentary question. I am trying to get descriptive statistics into word/excel/txt format for my data which is made up of 5 repeated cross section surveys with probability weights ...
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1answer
29 views

Stata's predict uhat, residuals function in R

I'm having trouble figuring out how to replicate Stata's command "predict uhat, residuals" in R for creating residuals. Do I have to generate a normal sampling to accomplish this? Thank you.
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22 views

Generate variable based on group values, Stata

I am using the DB1B coupon dataset for a project, but unfortunately I am having trouble generating the last dummy variable, "competitor offers codeshare". This variable will essentially =1 if any ...
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0answers
38 views

How to save regression results in Stata [closed]

Good day I need to save regression results in Stata, Indeed I've already run a multiple sets of regressions without having to retype the command each time using the following macro: ...
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0answers
15 views

How to save the transformed variables from a Prais-Winsten model in Stata?

Currently, I'm learning econometrics. In Stata, I have to execute a Prais-Winsten estimation using the command "prais lc lyd lw i, twostep", which gives the following result: ...
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0answers
30 views

Predicted number of events from xtnbreg, fe make no sense

I am trying to compute the number of predicted events from a fixed effects negative binomial regression model in Stata. I run the model first using random effects, then using fixed effects, and ...
2
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1answer
41 views

How to draw a random sample from a Generalized Beta distribution of the second kind

For microsimulations, I (i) want to estimate parameters of an empirical distribution and (ii) draw a random sample based on the estimations. My random variable $Y$ seems to follow a Generalized Beta ...
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2answers
55 views

Comparing 2 regression models

I have 2 continuous outcome (independent) variables, A and B, and 1 dependent variable (biomarker) that are all very correlated. I would like compare the outcome variables in relation to the biomarker ...
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0answers
24 views

divide among the use of statistical software package [duplicate]

Most of the application done by professionals, may it be in finance, economics or other industry is done in either R, SAS or Python. From what it looks like, most of the application in industries in ...
2
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1answer
35 views

How Residuals of Instrumental Variables Estimation are calculated and why you can have a negative R-squared?

I would like to understand, precisely, why you can have a negative $R^2$ with a 2SLS estimation, such as you have in commands like ivreg2 in Stata. There is ...
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0answers
9 views

How to export STATA xtcsd test results? [migrated]

I would like to export results of cross section dependence tests for 12 panel data sets to a table in order to compare them to similar tests done with another software. Below is the regression and ...
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0answers
26 views

Multilevel model with repeated data and time fixed effects?

I am using pooled cross sectional survey data to estimate prefernce for redistribution. I have 33 countries for 6 survey rounds covering the periods 2000-2013. I would like to estimate the effects ...
1
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1answer
77 views

Why report r-squared in Instrumental Variables Estimation?

I mean the the R-squared calculated such as in $R^2=1-\frac{RSS}{TSS}$ when you use the $RSS$ from the original structural model and not recalculation that you should do in order to do an F test. With ...
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0answers
53 views

Significant turning points in fractional polynomials

When using fractional polynomial models it has been suggested to use the first derivative of the polynomial function to identify significant periods of change and the second derivative to identify ...
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0answers
20 views

multiple (binary) endogenous variable for separated subgroups

I want to specify a empirical model of homeownership like where D(j) is binary endogenous variables indicating the strickness of restriction of immigrant admission in different cities;lambda is ...
1
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0answers
34 views

Generalised Tobit for clustered data (type 2?)

I would like to make a Tobit estimation where my dependent variable is stadium attendance, but there are observations from 18 different stadiums (different capacities). My thoughts are it may be type ...
0
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1answer
66 views

Displaying frequency when using kernel density estimation

I am trying to plot a kernel density of a single variable in Stata where the y-axis is displayed as a frequency rather than the default density scale. For a histogram, this is trivial; the syntax is: ...
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0answers
54 views

Analyzing Independently Pooled Cross Sectional data (TIme series)

I am new with time-series data analysis. It seems that there is some confusion in terminology (Panel, and time-series cross-sectional). But my question is general in nature. How do I analyze a ...
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0answers
31 views

How to compare diagnostic accuracy of two tests in unpaired data?

I am wondering whether I can compare diagnostic accuracy, sensitivity, specificity, positive and negative predictive values, and likelihood ratios, between two diagnostic procedures employed in two ...
0
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0answers
21 views

How to resolve non-linearity while using dynamic panel estimation?

I am looking at the effects of customer satisfaction on firm performance. There are a lot of other predictors and controls etc. and my substantive question is rather more complex than this. However, ...
0
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0answers
37 views

AIC/BIC values keeps falling as I add more and more lags. How do I select the appropriate lag length?

I am trying to minimize the values of the Akaike and Bayesian Information Criteria to figure out the optimal lag structure for my ARDL error correction model. I am using Stata to run my analysis and ...
0
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1answer
30 views

Since incidence rate ratios are always positive, how does one determine the sign of the effect?

I want the results from a Poisson regression to be comparable to previous OLS and Tobit regressions. To do this, I am utilizing the irr (incidence rate ratio) option in Stata. However, since all the ...
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0answers
66 views

Performing a test on heteroskedasticity and the interpretation of the results

I ran a test for heteroskedasticity in the panel data I am using and got the following output (performed in Stata): ...
2
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0answers
43 views

Heteroscedasticity test for random effects model in Stata

I have a panel data and according to Hausman, I have to use a random effects model. I know that in Stata I can use a modified Wald test, but only with a fixed effects model. I want to know a test for ...
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0answers
28 views

Measure based on the absolute residuals of an OLS with/without intercept

A typical measure for firms’ use of earnings management in the finance literature is based on the absolute value of the residual (|e|) of a OLS regression estimated separately for firms in ...
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0answers
57 views

Is selection/sample bias immediately caused when I don't exclude data?

I'm running a multinomial logistic regression on 8 independent variables for 180 observations in Stata (version 11). The dependent variable is categorical with 7 outcome categories, categories 1-6 ...
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0answers
44 views

How to deal with separation in logistic regression in Stata?

I'm running a binary logistic regression on 15 independent variables for 180 observations in Stata (version 11). This I do for four different groups, i.e. four dependent variables. For three, it works ...