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Re: st: xtivreg, fd,


From   "Antonio Rodrigues Andres" <ara@sam.sdu.dk>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: xtivreg, fd,
Date   Fri, 30 Apr 2004 21:27:39 +0200

Many thanks for your help Mark.
I still get different output using ivreg and xtivreg, fd.
*SET INDIVIDUAL (i) AND TIME (t) INDEXES;

iis country
tis year
sort country year


tsset country year
gen lsrt1=l.lsrt
gen lsrt2=l2.lsrt
gen dlsrt=d.lsrt
gen dlsrt1=d.lsrt1

ivreg dlsrt (dlsrt1=lsrt2)
xtivreg lsrt (l.lsrt=l2.lsrt), fd


gen lsrt1=l.lsrt
(107 missing values generated)

. gen lsrt2=l2.lsrt
(109 missing values generated)

. gen dlsrt=d.lsrt
(107 missing values generated)

. gen dlsrt1=d.lsrt1
(152 missing values generated)

. 
. ivreg dlsrt (dlsrt1=lsrt2)

Instrumental variables (2SLS) regression

      Source |       SS       df       MS              Number of obs =  
  244
-------------+------------------------------           F(  1,   242) =  
 1.34
       Model | -.719700684     1 -.719700684           Prob > F      = 
0.2490
    Residual |  1.44715929   242  .005979997           R-squared     =  
    .
-------------+------------------------------           Adj R-squared =  
    .
       Total |  .727458603   243  .002993657           Root MSE      = 
.07733

------------------------------------------------------------------------------
       dlsrt |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
      dlsrt1 |   .8867141   .7674034     1.16   0.249    -.6249287   
2.398357
       _cons |  -.0001804   .0050379    -0.04   0.971    -.0101041   
.0097433
------------------------------------------------------------------------------
Instrumented:  dlsrt1
Instruments:   lsrt2
------------------------------------------------------------------------------

. xtivreg lsrt (l.lsrt=l2.lsrt), fd

First-differenced IV regression                 Number of obs      =    
  218
Group variable: country                         Number of groups   =    
   15

R-sq:  within  = 0.7347                         Obs per group: min =    
    1
       between = 0.9999                                        avg =    
 15.2
       overall = 0.9846                                        max =    
   45

                                                chi2(1)            =    
 0.61
corr(u_i, Xb)  = -0.9783                        Prob > chi2        =   
0.4359

------------------------------------------------------------------------------
d.lsrt       |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
lsrt         |
          LD |  -.4967594   .6375814    -0.78   0.436    -1.746396   
.7528772
_cons        |  -.0038265   .0037607    -1.02   0.309    -.0111974   
.0035444
-------------+----------------------------------------------------------------
     sigma_u |  .62887255
     sigma_e |   .0555244
         rho |  .99226483   (fraction of variance due to u_i)
------------------------------------------------------------------------------
Instrumented:   L.lsrt
Instruments:     L2.lsrt

. 
end of do-file



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