Date:         Tue, 20 May 2008 11:43:13 -0500
Reply-To:     Roxana Dragan <dragan.roxana@gmail.com>
Sender:       "SPSSX(r) Discussion" <SPSSX-L@LISTSERV.UGA.EDU>
From:         Roxana Dragan <dragan.roxana@gmail.com>
Subject:      Re: estimating restricted systems of equations with SPSS
Comments: To: "Peck, Jon" <peck@spss.com>
In-Reply-To:  <5CFEFDB5226CB54CBB4328B9563A12EE0940E1A6@hqemail2.spss.com>
Content-Type: text/plain; charset=ISO-8859-1

Thanks a lot Jon.

On Tue, May 20, 2008 at 11:30 AM, Peck, Jon <peck@spss.com> wrote:

>  Why would you need a new dataset for each regression?  You can merge them
> all together in one command.  Just use ADD FILES to merge them and then work
> with the combined dataset.  You can do up to 49 in a single command.  If you
> want to work with an individual country or individual year, use the filter
> capabilities to select the cases you need based on your country or year
> variables.
>
>
>  ------------------------------
>
> *From:* Roxana Dragan [mailto:dragan.roxana@gmail.com]
> *Sent:* Tuesday, May 20, 2008 10:24 AM
>
> *To:* Peck, Jon
> *Cc:* SPSSX-L@listserv.uga.edu
> *Subject:* Re: [SPSSX-L] estimating restricted systems of equations with
> SPSS
>
>
>
> Jon,
>
> stacking the data seems to be the solution. Than the problem I run into is
> that I need to that a lot of times. For every single regression I need to
> create a new data set. I have lots of regressions like that, 36 to be exact.
> I am not looking forward to create 36 new data files.
>
> Roxana
>
>  On Tue, May 20, 2008 at 10:56 AM, Peck, Jon <peck@spss.com> wrote:
>
> Country dummies provide country-specific intercepts.  That's what you
> wanted.  But if you use country as a factor in GLM or, better, perhaps, in
> MIXED, where you can allow for the error structure, this will be taken care
> of automatically.
>
>
>
> Depending on your data, you might at least want to allow the error variance
> to be country specific (diagonal covariance), which you can do with MIXED.
> With the large variation in the size of the OECD countries economies,
> constant variance across countries is probably unrealistic with typical
> economic dependent variables.
>
>
>
> You can estimate those variances with MIXED and see how it works.
>
>
>
> HTH,
>
> Jon Peck
>
>
>  ------------------------------
>
> *From:* Roxana Dragan [mailto:dragan.roxana@gmail.com]
> *Sent:* Tuesday, May 20, 2008 9:29 AM
> *To:* Peck, Jon
> *Cc:* SPSSX-L@listserv.uga.edu
> *Subject:* Re: [SPSSX-L] estimating restricted systems of equations with
> SPSS
>
>
>
> Jon,
>
> Thank you for your reply. I was planning to use country dummies anyways,
> but I do not see how that would solve my problem. The country dummy just
> averages the residuals over a particular country for an equation. Now that
> you brought that up, I think I can just average over the residuals of the
> first equation and add that to the intercept of the stacked data equation to
> get the intercept of the first equation. I think it is correct, but I am
> just insecure and I need some confirmation. I would still need to estimate
> standard errors for that new intercept - I have no clue how to do that. I
> think the F statistic would change. I am a bit confused. I guess I will give
> up spss and try another software.
>
> Roxana
>
> On Mon, May 19, 2008 at 8:59 AM, Peck, Jon <peck@spss.com> wrote:
>
> I didn't see an answer to this question posted.  You can estimate your
> restricted system by stacking the data and using ordinary regression.  In
> order to allow for separate constant terms, you would just calculate a
> separate country specific dummy variable and include these in the
> regression.
>
> E.g., compute country_1 = country = "country+1"  (or however the countries
> are identified).
>
> Then include N-1 of these dummies in the equation along with the other
> variable(s).
>
> However, you might be better off using the Mixed procedure to allow for the
> error structure likely to be present in panel data, and then you could
> specify the panel structure of the data directly in the procedure.
>
> HTH,
> Jon Peck
>
>
> -----Original Message-----
> From: SPSSX(r) Discussion [mailto:SPSSX-L@LISTSERV.UGA.EDU] On Behalf Of
> Roxana Dragan
> Sent: Friday, May 16, 2008 2:01 PM
> To: SPSSX-L@LISTSERV.UGA.EDU
> Subject: [SPSSX-L] estimating restricted systems of equations with SPSS
>
> Hello,
>
> I have a (panel/longitudinal) data set on a set of OECD countries over the
> period of time 1970-2000. I have a lot of variables: V1, V2, V3.. up to
> V49.
> The data looks like this:
>
> country_1 1970 V1 V2 V3 V4 V5 V6....V49
> country_1 1980 V1 V2 V3 V4 V5 V6....V49
> country_1 1990 V1 V2 V3 V4 V5 V6....V49
> country_1 2000 V1 V2 V3 V4 V5 V6....V49
> country_2 1970 V1 V2 V3 V4 V5 V6....V49
> country_2 1980 V1 V2 V3 V4 V5 V6....V49
> country_2 1990 V1 V2 V3 V4 V5 V6....V49
> country_2 2000 V1 V2 V3 V4 V5 V6....V49
> country_3 1970 V1 V2 V3 V4 V5 V6....V49
> country_3 1980......
>
> The data are stacked. The data for a country are grouped together and
> ordered by the time period. What I need to do is to estimate systems of
> regressions like this:
>
> V1 = constant1 + alpha*V3 + error1
> V2 = constant2 + alpha*V3 + error2
>
> The above two equations form a restricted system of equations. I want to
> restrict "alpha" to be the same in both equations. I would need to estimate
> restricted systems like this lots of times, not just a few times. For a
> moment I thought I can "trick" the program by creating another data set
> where I would stack V1 on top of V2 and V3 on top of itself and then just
> run a simple regression - it would have been costly to that a lot of times
> anyways, but I realized I would restrict the intercepts as well - I do not
> want that - it was wrong. Currently I am banging my head against the GLM
> command, trying to understand it. Do you have any advise on how to approach
> my restricted estimation problem? Even an advise like keep on banging your
> head against the GLM command would be helpful, at least I would know I am
> on
> the right track.
>
> Thanks,
> Roxana
>
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