----------------------------------------------------------------------------------------------------------------------- name: log: C:\Users\stata10\Documents\wagepan.log log type: text opened on: 22 Nov 2022, 16:03:57 . reg lwage educ exper married union Source | SS df MS Number of obs = 4,360 -------------+---------------------------------- F(4, 4355) = 232.87 Model | 217.877849 4 54.4694623 Prob > F = 0.0000 Residual | 1018.65179 4,355 .233903971 R-squared = 0.1762 -------------+---------------------------------- Adj R-squared = 0.1754 Total | 1236.52964 4,359 .283672779 Root MSE = .48364 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- educ | .1032319 .0044971 22.96 0.000 .0944153 .1120485 exper | .0487251 .0029001 16.80 0.000 .0430395 .0544107 married | .1277006 .0155485 8.21 0.000 .0972177 .1581835 union | .1720027 .0170683 10.08 0.000 .1385401 .2054654 _cons | .0189577 .0618246 0.31 0.759 -.1022499 .1401654 ------------------------------------------------------------------------------ . xtset nr year panel variable: nr (strongly balanced) time variable: year, 1980 to 1987 delta: 1 unit . xtreg lwage educ exper married union, fe note: educ omitted because of collinearity Fixed-effects (within) regression Number of obs = 4,360 Group variable: nr Number of groups = 545 R-sq: Obs per group: within = 0.1672 min = 8 between = 0.0001 avg = 8.0 overall = 0.0513 max = 8 F(3,3812) = 255.03 corr(u_i, Xb) = -0.1575 Prob > F = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- educ | 0 (omitted) exper | .0598672 .0025835 23.17 0.000 .054802 .0649325 married | .0610384 .0182929 3.34 0.001 .0251736 .0969032 union | .083791 .019414 4.32 0.000 .045728 .1218539 _cons | 1.211888 .0169244 71.61 0.000 1.178706 1.24507 -------------+---------------------------------------------------------------- sigma_u | .40514496 sigma_e | .35352815 rho | .56772216 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(544, 3812) = 9.79 Prob > F = 0.0000 . estimates store fe . xtreg lwage educ exper married union, re Random-effects GLS regression Number of obs = 4,360 Group variable: nr Number of groups = 545 R-sq: Obs per group: within = 0.1666 min = 8 between = 0.1740 avg = 8.0 overall = 0.1706 max = 8 Wald chi2(4) = 876.29 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- educ | .1082765 .0087264 12.41 0.000 .091173 .12538 exper | .0576255 .002501 23.04 0.000 .0527236 .0625274 married | .0796721 .0167171 4.77 0.000 .0469072 .1124371 union | .1067506 .017902 5.96 0.000 .0716634 .1418378 _cons | -.0613771 .1070096 -0.57 0.566 -.2711121 .1483579 -------------+---------------------------------------------------------------- sigma_u | .32717564 sigma_e | .35352815 rho | .46134431 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . estimates store re . hausman fe re ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | fe re Difference S.E. -------------+---------------------------------------------------------------- exper | .0598672 .0576255 .0022417 .0006478 married | .0610384 .0796721 -.0186337 .0074275 union | .083791 .1067506 -.0229597 .0075116 ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg Test: Ho: difference in coefficients not systematic chi2(3) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 23.19 Prob>chi2 = 0.0000 . reg d.lwage d.educ d.exper d.married d.union note: D.educ omitted because of collinearity note: D.exper omitted because of collinearity Source | SS df MS Number of obs = 3,815 -------------+---------------------------------- F(2, 3812) = 4.11 Model | 1.61825904 2 .809129518 Prob > F = 0.0164 Residual | 749.57567 3,812 .1966358 R-squared = 0.0022 -------------+---------------------------------- Adj R-squared = 0.0016 Total | 751.193929 3,814 .196956982 Root MSE = .44344 ------------------------------------------------------------------------------ D.lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- educ | D1. | 0 (omitted) | exper | D1. | 0 (omitted) | married | D1. | .0431299 .0228794 1.89 0.059 -.0017272 .0879869 | union | D1. | .0424063 .0196746 2.16 0.031 .0038325 .0809801 | _cons | .0648596 .0073152 8.87 0.000 .0505174 .0792018 ------------------------------------------------------------------------------ . predict resfd, res (545 missing values generated) . reg resfd l.resfd Source | SS df MS Number of obs = 3,270 -------------+---------------------------------- F(1, 3268) = 723.26 Model | 103.699899 1 103.699899 Prob > F = 0.0000 Residual | 468.560486 3,268 .143378362 R-squared = 0.1812 -------------+---------------------------------- Adj R-squared = 0.1810 Total | 572.260384 3,269 .17505671 Root MSE = .37865 ------------------------------------------------------------------------------ resfd | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- resfd | L1. | -.3941271 .0146551 -26.89 0.000 -.4228612 -.3653929 | _cons | -.0082354 .0066217 -1.24 0.214 -.0212184 .0047477 ------------------------------------------------------------------------------ . xtreg lwage educ exper married union, fe note: educ omitted because of collinearity Fixed-effects (within) regression Number of obs = 4,360 Group variable: nr Number of groups = 545 R-sq: Obs per group: within = 0.1672 min = 8 between = 0.0001 avg = 8.0 overall = 0.0513 max = 8 F(3,3812) = 255.03 corr(u_i, Xb) = -0.1575 Prob > F = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- educ | 0 (omitted) exper | .0598672 .0025835 23.17 0.000 .054802 .0649325 married | .0610384 .0182929 3.34 0.001 .0251736 .0969032 union | .083791 .019414 4.32 0.000 .045728 .1218539 _cons | 1.211888 .0169244 71.61 0.000 1.178706 1.24507 -------------+---------------------------------------------------------------- sigma_u | .40514496 sigma_e | .35352815 rho | .56772216 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(544, 3812) = 9.79 Prob > F = 0.0000 . predict resfe, res . reg resfe l.resfe Source | SS df MS Number of obs = 3,815 -------------+---------------------------------- F(1, 3813) = 2643.33 Model | 419.501474 1 419.501474 Prob > F = 0.0000 Residual | 605.130321 3,813 .158701894 R-squared = 0.4094 -------------+---------------------------------- Adj R-squared = 0.4093 Total | 1024.6318 3,814 .268650182 Root MSE = .39837 ------------------------------------------------------------------------------ resfe | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- resfe | L1. | .6294033 .012242 51.41 0.000 .6054017 .6534048 | _cons | .0040652 .0064498 0.63 0.529 -.0085801 .0167105 ------------------------------------------------------------------------------ . xtreg lwage educ exper married union, fe note: educ omitted because of collinearity Fixed-effects (within) regression Number of obs = 4,360 Group variable: nr Number of groups = 545 R-sq: Obs per group: within = 0.1672 min = 8 between = 0.0001 avg = 8.0 overall = 0.0513 max = 8 F(3,3812) = 255.03 corr(u_i, Xb) = -0.1575 Prob > F = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- educ | 0 (omitted) exper | .0598672 .0025835 23.17 0.000 .054802 .0649325 married | .0610384 .0182929 3.34 0.001 .0251736 .0969032 union | .083791 .019414 4.32 0.000 .045728 .1218539 _cons | 1.211888 .0169244 71.61 0.000 1.178706 1.24507 -------------+---------------------------------------------------------------- sigma_u | .40514496 sigma_e | .35352815 rho | .56772216 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(544, 3812) = 9.79 Prob > F = 0.0000 . drop resfe . predict resfe, e . reg resfe l.resfe Source | SS df MS Number of obs = 3,815 -------------+---------------------------------- F(1, 3813) = 12.17 Model | 1.16369719 1 1.16369719 Prob > F = 0.0005 Residual | 364.454836 3,813 .095582176 R-squared = 0.0032 -------------+---------------------------------- Adj R-squared = 0.0029 Total | 365.618533 3,814 .095862227 Root MSE = .30916 ------------------------------------------------------------------------------ resfe | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- resfe | L1. | .0520417 .0149149 3.49 0.000 .0227998 .0812836 | _cons | .0044334 .0050054 0.89 0.376 -.0053802 .014247 ------------------------------------------------------------------------------ . xtreg lwage educ exper married union, fe vce(robust) note: educ omitted because of collinearity Fixed-effects (within) regression Number of obs = 4,360 Group variable: nr Number of groups = 545 R-sq: Obs per group: within = 0.1672 min = 8 between = 0.0001 avg = 8.0 overall = 0.0513 max = 8 F(3,544) = 136.41 corr(u_i, Xb) = -0.1575 Prob > F = 0.0000 (Std. Err. adjusted for 545 clusters in nr) ------------------------------------------------------------------------------ | Robust lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- educ | 0 (omitted) exper | .0598672 .0033717 17.76 0.000 .0532441 .0664904 married | .0610384 .0212076 2.88 0.004 .0193796 .1026972 union | .083791 .0231101 3.63 0.000 .0383951 .1291868 _cons | 1.211888 .0216293 56.03 0.000 1.169401 1.254375 -------------+---------------------------------------------------------------- sigma_u | .40514496 sigma_e | .35352815 rho | .56772216 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . newey d.lwage d.educ d.exper d.married d.union option lag() required r(198); . newey d.lwage d.educ d.exper d.married d.union, lag(1) year is not regularly spaced r(198); . gen dlwage=d.lwage (545 missing values generated) . gen deduc=d.educ (545 missing values generated) . gen dexper=d.exper (545 missing values generated) . gen dmarried=d.married (545 missing values generated) . gen dunion=d.union (545 missing values generated) . newey dlwage deduc dexper dmarried dunion, lag(1) year is not regularly spaced r(198); . newey dlwage deduc dexper dmarried dunion, lags(1) option lag() required r(198); . tsset year repeated time values in sample r(451); . xtreg lwage educ exper married union, fe note: educ omitted because of collinearity Fixed-effects (within) regression Number of obs = 4,360 Group variable: nr Number of groups = 545 R-sq: Obs per group: within = 0.1672 min = 8 between = 0.0001 avg = 8.0 overall = 0.0513 max = 8 F(3,3812) = 255.03 corr(u_i, Xb) = -0.1575 Prob > F = 0.0000 ------------------------------------------------------------------------------ lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- educ | 0 (omitted) exper | .0598672 .0025835 23.17 0.000 .054802 .0649325 married | .0610384 .0182929 3.34 0.001 .0251736 .0969032 union | .083791 .019414 4.32 0.000 .045728 .1218539 _cons | 1.211888 .0169244 71.61 0.000 1.178706 1.24507 -------------+---------------------------------------------------------------- sigma_u | .40514496 sigma_e | .35352815 rho | .56772216 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(544, 3812) = 9.79 Prob > F = 0.0000 . xttest3 Modified Wald test for groupwise heteroskedasticity in fixed effect regression model H0: sigma(i)^2 = sigma^2 for all i chi2 (545) = 2.4e+05 Prob>chi2 = 0.0000 . xtreg lwage educ exper married union, fe vce(robust) note: educ omitted because of collinearity Fixed-effects (within) regression Number of obs = 4,360 Group variable: nr Number of groups = 545 R-sq: Obs per group: within = 0.1672 min = 8 between = 0.0001 avg = 8.0 overall = 0.0513 max = 8 F(3,544) = 136.41 corr(u_i, Xb) = -0.1575 Prob > F = 0.0000 (Std. Err. adjusted for 545 clusters in nr) ------------------------------------------------------------------------------ | Robust lwage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- educ | 0 (omitted) exper | .0598672 .0033717 17.76 0.000 .0532441 .0664904 married | .0610384 .0212076 2.88 0.004 .0193796 .1026972 union | .083791 .0231101 3.63 0.000 .0383951 .1291868 _cons | 1.211888 .0216293 56.03 0.000 1.169401 1.254375 -------------+---------------------------------------------------------------- sigma_u | .40514496 sigma_e | .35352815 rho | .56772216 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . ssc install xttest3 checking xttest3 consistency and verifying not already installed... all files already exist and are up to date.