Choosing Fixed-Effects, Random-Effects or Pooled OLS Models in Panel Data Analysis using Stata

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  • Опубліковано 17 лис 2024

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  • @user-kr4pm3wq9x
    @user-kr4pm3wq9x 2 роки тому +13

    Thanks. This is the first channel explaining everything clearly and step by step by using a real, published study. Please upload more models, tests, and commands

    • @HKTStata
      @HKTStata  2 роки тому

      Thanks for watching and comments!

  • @SanaUllah-e7p
    @SanaUllah-e7p 9 місяців тому +2

    That's how you clearly explain the steps. Much appreciated

  • @johnmh5192
    @johnmh5192 2 роки тому +2

    Thank you so much for using data from your empirical study to teach how to carry out the analysis. Its been very helpful .

  • @bidima1218
    @bidima1218 2 роки тому +1

    There are a few mistakes, but it is a very helpful video to understand. You are a legend, thank you!

  • @jameskaburia
    @jameskaburia 2 роки тому +5

    This was a really helpful video that breaks it down clearly! Thanks!

  • @thecollector5622
    @thecollector5622 2 роки тому +1

    Thank you sir, for the excellent video. I have run the FE and RE for research data.

  • @sonjaskoric1585
    @sonjaskoric1585 2 роки тому +1

    the concepts were explained really well. Thank you!

  • @biauaswlkp
    @biauaswlkp 2 роки тому +1

    I found your presentation very helpful and explained so clearly thank you :)

  • @donasp5391
    @donasp5391 2 роки тому +1

    Very good explanations! Thank you so much!

    • @HKTStata
      @HKTStata  2 роки тому

      Glad you enjoyed it!

  • @briankibiwott6507
    @briankibiwott6507 2 роки тому

    Thanks for the video. Having the snapshot of the dataset and the do file would help understand the content better.

  • @qasimkhan4199
    @qasimkhan4199 Рік тому +1

    Excellent explaination 👍

  • @NOWYSZCZYT
    @NOWYSZCZYT 2 роки тому +3

    pretty Splendid. But I have a request please use command mode and speak slowly to elaborate more in-depth.

    • @HKTStata
      @HKTStata  2 роки тому +1

      Please see Torres-Reyna (2007) at www.princeton.edu/~otorres/Panel101.pdf

  • @khaledaziz7134
    @khaledaziz7134 2 роки тому +2

    Good explication of this method

  • @ffslabel2843
    @ffslabel2843 2 роки тому

    That was amazingly explained with interesting examples. Thanks a lot

  • @dalilatoss1627
    @dalilatoss1627 2 роки тому +2

    this video is so useful, thank you very much!

    • @HKTStata
      @HKTStata  2 роки тому

      Glad it was helpful!

  • @DrPommes
    @DrPommes 2 місяці тому +1

    Hello, may I ask a question for my regression: I did the Hausman test and the result was 0.000 -> so i am going to use the Fixed Effects Regression. After I used the Peusch-Pagan Test it showed me a result of 1.000 which means that I should or can use the POLS regression. Should i continue with the FE or the POLS?

    • @HKTStata
      @HKTStata  2 місяці тому

      with FE my friend :)
      please see the figure 1 of our article doi.org/10.3390/su11174569

  • @huynhanna6840
    @huynhanna6840 2 роки тому +2

    Great tutorial

    • @HKTStata
      @HKTStata  2 роки тому

      Thank you! Cheers!

  • @OppoOppo-kt4uv
    @OppoOppo-kt4uv 2 роки тому +2

    This method is hot, thanks !

  • @Souravseye
    @Souravseye 2 роки тому

    Please can I apply same to my RE model, if my Hausman test results allows me to pick RE model... I wanna eliminate heteroskedasticity

    • @HKTStata
      @HKTStata  2 роки тому

      Yes you can; you can also use the robust option for eliminating heteroskedasticity of your RE

  • @eunjungoh1675
    @eunjungoh1675 Рік тому +1

    Hi thank you for the video which is very helpful. One comment on the first hausman test result to be sure: wouldn't it be that we "reject" the null hypothesis (H0: random effect is a preferred model) as the p-value is 0.000, and accept the H1: fixed effect is a preferred model? The video says that the hausman test allows us to "accept" the null hypothesis and choose to use fixed effects.

    • @HKTStata
      @HKTStata  Рік тому +1

      Thanks for your comment. The correct interpretation must be "the hausman test allows us to reject the null hypothesis and choose to use fixed effects".
      Random effects (RE) is preferred under the null hypothesis due to higher efficiency, while under the alternative Fixed effects (FE) is at least as consistent and thus preferred.
      If the p-value is small (less than 0.05), reject the null hypothesis.

  • @tool3cuocsong138
    @tool3cuocsong138 2 роки тому

    Dougherty's knowledge at 6:17? In the ones I can find the page 421 isn't providing your given information/flowchart. Thank you.

    • @HKTStata
      @HKTStata  2 роки тому

      Dougherty, C. Introduction to Econometrics; OUP Oxford: Oxford, UK, 2011. You can find it in the reference of our article at doi.org/10.3390/su11174569

  • @farhanfarzam4278
    @farhanfarzam4278 Рік тому +1

    thank you for this video

  • @irfanrashidganie3832
    @irfanrashidganie3832 2 роки тому +1

    Hi, Thank you for such a fantastic video, in my case I got a p-value of more than .05 for both the Hausman test and LM. What should I do?

    • @HKTStata
      @HKTStata  2 роки тому +1

      It means that your appropriate model is OLS regression. Thanks for watching and for your comment!

    • @irfanrashidganie3832
      @irfanrashidganie3832 2 роки тому

      @@HKTStata SImple OLS or pooled OLS?

    • @HKTStata
      @HKTStata  2 роки тому +1

      In my opinion, multiple OLS and pooled OLS are the same; let's see the regression equation at the end of phantran.net/different-regression-models-with-panel-data-fixed-effects-random-effects-and-pooled-ols/

    • @irfanrashidganie3832
      @irfanrashidganie3832 2 роки тому

      @@HKTStata yes I also understand it in the same way. Thank you so much for your responses and help on this.

  • @kerajinantanpabatas9628
    @kerajinantanpabatas9628 2 роки тому +1

    Good job

  • @dka9756
    @dka9756 7 місяців тому +1

    Hi, I have 2 dependent variables that I want to test separately, Can I run the Hausman test for both of them separately?

    • @HKTStata
      @HKTStata  7 місяців тому

      You must run 02 selection processes separately for 02 dependent variables; in each process, run the hausman test for selecting the right model of each dependent variable. Good luck!

  • @hushjay3134
    @hushjay3134 3 місяці тому +1

    may I ask that in this case , there are two control variables gdp growth and size , there are all classified as independent variable in 10:05? isn't there a menu to choose them for control variable or they are treated same as other independent variables. thank you professor if I want to add moderate variable , where can I add it in the menu?

    • @HKTStata
      @HKTStata  3 місяці тому +1

      Control variables are treated same as other independent variables. I'm very sorry that the panel data analysis has not yet addressed the moderating effect. I'm also trying to find how to add a moderating variable, but I haven't found a way yet.

    • @hushjay3134
      @hushjay3134 3 місяці тому

      @@HKTStata I found that you can run the moderate effect by multiplying with the dependent variable ,that is the only way ,but I am curious that if you are a professor why you still don't now this , thank you for your reply

    • @HKTStata
      @HKTStata  3 місяці тому +1

      Testing moderating effects by multiplying two independent variables is a simple and theoretical method. This often requires accompanying robust tests for the moderating effect (e.g., the PROCESS macro developed by A.F. Hayes for SPSS; however, not suitable for panel data analysis). Therefore, this multiplication method may not convince "rigorous" reviewer. I emphasize "rigorous" ones; thus, you can still try using this method.

    • @hushjay3134
      @hushjay3134 3 місяці тому

      @@HKTStata thanks I got it, but when I saw the published paper, it moderating effect was run by multiplying independent variable and dependent variable ,not two independent variables , thank you for your reply ,All in all,I still gain a lot from your videos ,which save my thesis.

    • @HKTStata
      @HKTStata  3 місяці тому +1

      multiplying independent variable and dependent variable is wrong. Please see doi.org/10.1037/0022-3514.51.6.1173 & ademos.people.uic.edu/Chapter14.html

  • @funnymoment7552
    @funnymoment7552 Рік тому

    As you know robust model may fix the heteroskedasticity problem and also Pooled OLS fixes the serial correlation problem. Which model is preferable if both (heteroskedasticity and serial correlation) tests are failed?

    • @HKTStata
      @HKTStata  Рік тому

      For Pooled OLS, you just test the heteroskedasticity, if the test failed, you should use robust option. You do not need the serial correlation test, this is only for panel data models such fixed and random effects ones; Pooled OLS ignores the time effect.

    • @funnymoment7552
      @funnymoment7552 Рік тому

      @@HKTStata Thanks for your prompt response. But I wanna comprehend the issues around my problem. My data has both heteroskedasticity and autocorrelation problems. Which model is feasible for this type of problem sir?

    • @HKTStata
      @HKTStata  Рік тому

      You can see www.homepages.ucl.ac.uk/~uctpsc0/Teaching/GR03/Heter&Autocorr.pdf
      Note that heteroskedasticity and/or autocorrelation problems do not matter; you can use robust option to fix them. So, choose the your appropriate model according to the process presented in my video; then add robust option for your chosen one; that is your final model.

  • @sameeraismail6224
    @sameeraismail6224 Рік тому

    How do we decide between Pooled OLS and and fixed effects? If I fail to reject the null of the Breush-Pagan Lagrange multiplier result

    • @HKTStata
      @HKTStata  Рік тому

      If p < 0.05 in your LM test, you choose the fixed-effect.

  • @xtremedesignner
    @xtremedesignner 2 роки тому

    Thank you for this video. Now my question is that exist any test of endogeneity in the fix effects model. Thank you very much.

  • @thv9424
    @thv9424 Рік тому +1

    In hausman test p value came 0 means fixed effect model is appropriate but in xttest0 p value came 1 means pooled is appropriate. So which on is appropriate for this analysis??? Please can you explain

    • @HKTStata
      @HKTStata  Рік тому

      You should see the figure 1 in our article doi.org/10.3390/su11174569
      You can use only the hausman test for your decision.
      You can see also ua-cam.com/video/AxFVb75QSf4/v-deo.html

    • @thv9424
      @thv9424 Рік тому

      That's mean i have to do hausman test Again Between pooled ols and Fixed effect model?

    • @thv9424
      @thv9424 Рік тому

      And if significant p value came then means fixed effect model is appropriate????

    • @HKTStata
      @HKTStata  Рік тому +1

      The hausman test is for choosing between random or fixed effect model. The xttest0 is for choosing between pooled OLS or random effect model. If the hausman test is significant (p < 0.05), it means fixed effect model is appropriate; then you can ignore the xttest0 according to the figure 1 in our article doi.org/10.3390/su11174569

    • @thv9424
      @thv9424 Рік тому

      Thanks

  • @protanker3237
    @protanker3237 2 роки тому

    Thank you very much sir

  • @uberuber4245
    @uberuber4245 2 роки тому +1

    Its really very informative. But I am unable to run sigmamore command. Plz explain

    • @HKTStata
      @HKTStata  2 роки тому

      You must assure that fixed and random regression have stored before run haussman test. Plz retry by respecting the following steps: 1. Performing fixed-effects regression by using command xtreg with option fe, 2. and save the fixed-effects estimates 3. Performing random-effects regression by using command xtreg with option re, 4. and save the random-effects estimates 5. the Hausman test with sigamore option

  • @СергейСпец
    @СергейСпец 2 роки тому +1

    Thanks for your great work!...AT the end, yoo explain the meaning of "rho", and the slide says "97.466% of the variance is due to differences across panels"...Did you want to say "entities" instead of "panels"?...Thanks again!

    • @HKTStata
      @HKTStata  2 роки тому

      I based on Torres-Reyna (2007), but I think you are right ... across entities or observations of panel

  • @bahfamanta9993
    @bahfamanta9993 2 роки тому +1

    Thank you very much! Could you provide the topic of your published paper ?

    • @HKTStata
      @HKTStata  2 роки тому +1

      Yes, sure!
      Nguyen, Hoang Viet, Thanh Tu Phan, and Antonio Lobo. 2019. "Debunking the Myth of Foreign Direct Investment toward Long-Term Sustainability of a Developing Country: A Transaction Cost Analysis Approach" Sustainability 11, no. 17: 4569. doi.org/10.3390/su11174569

    • @bahfamanta9993
      @bahfamanta9993 2 роки тому +1

      @@HKTStata Thank very much!

  • @MinhNguyen0623
    @MinhNguyen0623 2 роки тому

    Thanks for your helpful video. Can I ask if xttest0 indicates that POLS is suitable (p_value=1.000) and after running xtserial for POLS model, autocorrelation exists. what could I do to fix it? Thanks.

    • @HKTStata
      @HKTStata  2 роки тому

      For POLS model, you should use VIF indicators for checking the heteroskedasticity problem. If you have VIF > 4, you must eliminate the variable having highest VIF score. Good luck!

    • @MinhNguyen0623
      @MinhNguyen0623 2 роки тому

      @@HKTStata thanks so much for your reply. But I would like to ask about autocorrelation appeared in POLS model.
      After using Breusch & Pagan LM (xttest0), I found that the POLS is preffered.
      Then I performed xtserial to test autocorrelation. P_value

    • @HKTStata
      @HKTStata  2 роки тому

      You can use robust option:
      regress ...., robust
      or
      regress ...., vce(robust)
      Good luck!

    • @MinhNguyen0623
      @MinhNguyen0623 2 роки тому +1

      @@HKTStata thanks for your help.

  • @qkpetwiki
    @qkpetwiki Рік тому

    Please reply me, is xttest0 in choosing model and xttest0 in check heteroskedasticity for RE model the same? REM is appropriate model for my data. First I check xttest0 to choose between RE and POLS then I use hausman to choose between RE and FE. Now I want to check heteroskedasticity for RE. What should I do?

    • @HKTStata
      @HKTStata  Рік тому +1

      To check heteroskedasticity for RE, you should use 2 following commands:
      xtgls Y X1 ...Xn, panels(hetero)
      xtreghet Y X1 ... Xn, id(ID) it(Year) model(xtmln) mfx(lin) diag lmhet
      If heteroskedasticity, run: xtreg Y X1 ... Xn, robust re
      Good luck :)

    • @qkpetwiki
      @qkpetwiki Рік тому

      @@HKTStata what is the name of this method? can you tell me I have to write on my paper

    • @HKTStata
      @HKTStata  Рік тому +1

      You can see www.stata.com/manuals/xtxtgls.pdf
      and fmwww.bc.edu/RePEc/bocode/x/xtreghet.html

    • @qkpetwiki
      @qkpetwiki Рік тому +1

      @@HKTStata thank you ^^ you save my day

  • @juliakulczynska7685
    @juliakulczynska7685 Рік тому

    If the Hausman test provides chi2(9) = 7.76 and p = 0.5586, while the LM test xttest0 provided chi-square statistics of 58.46, based on this, is the random effects model more appropriate?

    • @juliakulczynska7685
      @juliakulczynska7685 Рік тому

      Also, if I have several independent variables, should I repeat the process for each one of them, and if the results indicate that different models be used for different independent variables, should I do it, or use the same model across all regressions?

    • @HKTStata
      @HKTStata  Рік тому

      The Hausman test providing chi2(9) = 7.76 and p = 0.5586 > 0.05 indicate that the random effects is appropriate (but not fixed-effect). The LM test xttest0 providing Prob > chi2 < 0.05 indicate that the random effects is appropriate (but not OLS).
      If you have several independent variables, you should run all of them at same time (do not repeat the process for each one of them) by choosing the appropriate model.

    • @juliakulczynska7685
      @juliakulczynska7685 Рік тому +1

      @@HKTStata Thank you for your answer! And sorry I actually meant to say that I have several dependent variables, hence my question is whether I repeat the process for each one of them, or just stick with one model like the random effects one

    • @HKTStata
      @HKTStata  Рік тому +1

      Yes, you must repeat the process for each one of dependent variables.

  • @clarajoanjoachim2179
    @clarajoanjoachim2179 Рік тому

    hello, due to heteros I put robust, but my result doesn't show probability value and just a dot. any advice?

    • @HKTStata
      @HKTStata  Рік тому +1

      dots in Stata output mean missing values. The standard errors for those two coefficients could not be computed; presumably there is a problem of near-collinearity in the regressors (assuming this is regression output). See more www.stata.com/statalist/archive/2005-11/msg00282.html
      You should remove such variables!

    • @rigao7533
      @rigao7533 Рік тому

      Hello,did you solve your problem? thanks

    • @HKTStata
      @HKTStata  Рік тому

      You should remove such variables!

    • @clarajoanjoachim2179
      @clarajoanjoachim2179 Рік тому +1

      @@rigao7533 hello, i figured my number of variables are bigger than my cross sectional unit. I have removed some of my variables and able to get p-value reading

  • @holyday732
    @holyday732 2 роки тому

    hey i have a question (please i need very urgently help) i do the same but there comes a note which says: the rank of the differenced variance matrix (9) does not equal the number of
    coefficients being tested (10); be sure this is what you expect, or there may
    be problems computing the test. Examine the output of your estimators for
    anything unexpected and possibly consider scaling your variables so that the
    coefficients are on a similar scale.
    , but i dont see any problems, what should i do?

    • @HKTStata
      @HKTStata  2 роки тому +1

      Try with sigmamore option!
      . hausman fe re,sigmamore
      Please see www.stata.com/manuals13/rhausman.pdf and www.albany.edu/faculty/kretheme/PAD705/SupportMat/PanelData.pdf (page 8)

  • @aniksaha9925
    @aniksaha9925 2 роки тому

    If p value of constant in FEM becomes more than 5%, would it be a problem?

    • @HKTStata
      @HKTStata  2 роки тому +1

      No, there is no problem.

    • @aniksaha9925
      @aniksaha9925 2 роки тому

      Another question related with this,
      Considering FEM is my final regression as per hausman test, then can i/ do i need to incorporate GMM regression output in my panel data analysis?
      If yes, how to interpret it, assuming 3 out of 4 independent variables got significant in GMM (whereas, 2 got significant in FEM),also how to interpret j-statistic and prob (j statistic)?

    • @HKTStata
      @HKTStata  2 роки тому

      Please see Torres-Reyna (2007) at www.princeton.edu/~otorres/Panel101.pdf & phantran.net/different-regression-models-with-panel-data-fixed-effects-random-effects-and-pooled-ols/ & www.mdpi.com/2071-1050/11/17/4569

  • @jari976
    @jari976 Рік тому

    Regarding the hausman fixed random test, I get the error that estimation result fixed not found. However, I did a fe and re test beforehand. Someone who can help?

    • @HKTStata
      @HKTStata  Рік тому

      Try to use the sigmamore option of hausman test!
      Good luck!

    • @jari976
      @jari976 Рік тому

      @@HKTStata
      xtreg roaab gov env soc bet lto tdt lte, fe

      estimates store fixed

      xtreg roaab gov env soc bet lto tdt lte, re

      hausman fixed., sigmamore
      I did this, but at the last command it says again estimation result fixed not found

    • @HKTStata
      @HKTStata  Рік тому

      Retry the following commands:
      xtreg roaab gov env soc bet lto tdt lte, fe
      estimates store fixed
      xtreg roaab gov env soc bet lto tdt lte, re
      estimates store random
      hausman fixed random
      xttest0
      The input of hausman test must be both fixed and random model.
      Good luck!

    • @jari976
      @jari976 Рік тому

      @@HKTStata It worked, thank you!
      b = Consistent under H0 and Ha; obtained from xtreg.
      B = Inconsistent under Ha, efficient under H0; obtained from xtreg.
      Test of H0: Difference in coefficients not systematic
      chi2(7) = (b-B)'[(V_b-V_B)^(-1)](b-B)
      = 32.55
      Prob > chi2 = 0.0000
      .
      . xttest0
      Breusch and Pagan Lagrangian multiplier test for random effects
      roaab[company_id,t] = Xb + u[company_id] + e[company_id,t]
      Estimated results:
      | Var SD = sqrt(Var)
      ---------+-----------------------------
      roaab | .0007081 .0266108
      e | .000149 .0122071
      u | .0002418 .0155483
      Test: Var(u) = 0
      chibar2(01) = 355.07
      Prob > chibar2 = 0.0000
      What does this mean? I'm struggling how to interpret it.

  • @bibybob9618
    @bibybob9618 2 роки тому +1

    Modern presentation

  • @rayhanchowdhury4652
    @rayhanchowdhury4652 Рік тому

    very helpful video. Thanks you so much
    Can you please help me explaining these results from stata. I need to explain result for my dissertation

    • @HKTStata
      @HKTStata  Рік тому

      Please see phantran.net/category/methodology/statistical-software/stata/

  • @RedmiRedmi-jb3po
    @RedmiRedmi-jb3po 2 роки тому

    Can u please provide the link for this excel data. The drive link u provided is not opening

    • @HKTStata
      @HKTStata  2 роки тому

      Please use Stata 14 or later! You can also download data in excel here docs.google.com/spreadsheets/d/135p2zph7SL6I5Y5UyCu7eKFzcOitrBLb/edit?usp=sharing&ouid=100029919331612689631&rtpof=true&sd=true

  • @batuonal3704
    @batuonal3704 Рік тому

    Does storing the estimates change or effect the data if we wanna do other regressions later?

    • @HKTStata
      @HKTStata  Рік тому

      No, storing will do not change your original data.

  • @juliakulczynska7685
    @juliakulczynska7685 Рік тому

    Isn’t it standard OLS and not pooled since you didn’t add pooled at the end of the command?

    • @HKTStata
      @HKTStata  Рік тому

      Pooled OLS is normal OLS; but just for panel data; so, we don't need to add anything at the end of the command. Good luck!

  • @NutaBossCrew
    @NutaBossCrew 2 роки тому +1

    Thanks for the video. Having the snapshot of the dataset and the do file would help understand the content better.

  • @myikot
    @myikot 2 роки тому +1

    Thank you sir, for the excellent video. I have run the FE and RE for research data.

  • @اخصائىتجميل
    @اخصائىتجميل 2 роки тому +1

    That was amazingly explained with interesting examples. Thanks a lot

  • @saffirasad8828
    @saffirasad8828 2 роки тому

    Thanks for the video. Having the snapshot of the dataset and the do file would help understand the content better.

    • @HKTStata
      @HKTStata  2 роки тому

      Here you are:
      Database: drive.google.com/file/d/1G3NF-jL6Eoz9zrOjad5dMZrv33-Sp_D2/view?usp=sharing
      Data in excel: docs.google.com/spreadsheets/d/135p2zph7SL6I5Y5UyCu7eKFzcOitrBLb/edit?usp=sharing&ouid=100029919331612689631&rtpof=true&sd=true

  • @anabara6112
    @anabara6112 2 роки тому

    Thanks for the video. Having the snapshot of the dataset and the do file would help understand the content better.

    • @HKTStata
      @HKTStata  2 роки тому

      You can find it here:
      Database: drive.google.com/file/d/1G3NF-jL6Eoz9zrOjad5dMZrv33-Sp_D2/view?usp=sharing
      Data in excel: docs.google.com/spreadsheets/d/135p2zph7SL6I5Y5UyCu7eKFzcOitrBLb/edit?usp=sharing&ouid=100029919331612689631&rtpof=true&sd=true