*! version 1.0.1 10mar2009
help ueve

Title

[R] ueve -- Unbiased errors-in-variables estimator (UEVE),
Errors-in-variables estimator (EVE) and Efficient Wald estimator (EWALD) regressions on grouped data

Syntax

ueve
depvar
[indepvars]
[if] [in]
[weight]
,
group(groupvar)
[estimator
level(#)]

estimator description

ueve Unbiased errors-in-variables estimator (UEVE), the default

eve Errors-in-variables estimator (EVE)

ewald Efficient Wald estimator (EWALD)

xi is allowed; see prefix.

pweights, iweights, aweights and fweights are allowed; see weight.

Description

ueve fits a linear regression of depvar on indepvars,
using one of the three estimators for grouped data: Devereux (2007) errors-in-variables estimator
that is approximately unbiased (UEVE); Deaton (1985) errors-in-variables estimator (EVE) that was shown
to be equivalent to Jackknife Instrumental Variable Estimator in Devereux (2007);
and Efficient Wald estimator (EWALD) (Angrist 1991).
Input data should be in individual-level (not grouped) format, as the program uses them to compute estimates of
variance of sampling errors necessary to correct the bias in the grouping estimator. Since the variance of the sampling
errors is estimated using group-level sampling variances with (groupsize-1) in denominator, groups cannot have less
than two observations. If any group has one observation in it, the program automatically drops such groups from estimation,
and a warning message is displayed. Variance-covariance matrix of the estimator is calculated using formula following Deaton (1985).

Options

Model

group(groupvar)
specifies the name of the grouping variable. The data must be divided into a set of
mutually exclusive and exhaustive groups indexed by groupvar.

Reporting

level(#); see
[R] estimation options.

Examples

Setup

. sysuse nlsw88

. egen grp=group(south smsa c_city industry)

Fit UEVE regression in which observations are grouped by groups grp, which are allocated into mutually exclusive and exhaustive
supersets indexed by categorical variables south, smsa, c_city, industry.

. ueve wage race married grade tenure, group(grp)

Fit EWALD regression.

. ueve wage race married grade tenure, group(grp) ewald

Saved results

ueve saves the following in e():

Scalars

e(N) number of observations

e(G) number of groups

e(r2) R-squared (defined using data grouped into means)

Macros

e(cmd) ueve

e(depvar) name of dependent variable

e(indepvars) indepvars

e(properties) b V

Matrices

e(b) coefficient vector

e(V) variance-covariance matrix of the estimators

Functions

e(sample) marks estimation sample

References

Angrist, Joshua D., 1991. "Grouped-data estimation and testing in simple labor-supply models,"
Journal of Econometrics, Elsevier, vol. 47(2-3), pages 243-266, February.

Deaton, A. 1985. "Panel data from a time series of cross-sections," Journal of Econometrics, 30, 109-
126.

Devereux, Paul J., 2007. "Improved Errors-in-Variables Estimators for Grouped
Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 278-287, July.

Author

Aliaksandr Amialchuk, University of Toledo, USA
aamialc@utnet.utoledo.edu

Also see

Online:
[R] eivreg;

[R] ivregress;

[R] regress