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Re: st: Stata7 and Stata8 are doing two very different things.


From   TEWODAJ MOGUES <tmogues@students.wisc.edu>
To   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
Subject   Re: st: Stata7 and Stata8 are doing two very different things.
Date   Wed, 12 May 2004 23:05:15 -0500

Hi Mark,

Yes, let's use abdata as an example! Run the following regression, once using Stata7, and once using Stata8, and you'll see that the results differ:

xtabond n w L.k , lags(1) pre(ys , lag(0,1)) twostep noconstant

Running it in Stata7, you get the output:
==================================================================================

Arellano-Bond dynamic panel data                Number of obs      =       751
Group variable (i): id                          Number of groups   =       140

                                                Wald chi2(.)       =         .

Time variable (t): year                         min number of obs  =         5
                                                max number of obs  =         7
                                                mean number of obs =  5.364286

Two-step results
------------------------------------------------------------------------------
n            |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
n            |
          LD |   .3966709   .0447336     8.87   0.000     .3089946    .4843471
ys           |
          D1 |   .8290601   .0596861    13.89   0.000     .7120775    .9460427
w            |
          D1 |   -.527372   .0399636   -13.20   0.000    -.6056992   -.4490449
k            |
          LD |   .1368371   .0324049     4.22   0.000     .0733248    .2003495
------------------------------------------------------------------------------
Warning: Arellano and Bond recommend using one-step results for 
         inference on coefficients

Sargan test of over-identifying restrictions:     
         chi2(33) =    47.09      Prob > chi2 = 0.0531

Arellano-Bond test that average autocovariance in residuals of order 1 is 0:
         H0: no autocorrelation   z =  -2.17   Pr > z = 0.0301
Arellano-Bond test that average autocovariance in residuals of order 2 is 0:
         H0: no autocorrelation   z =  -0.58   Pr > z = 0.5602

======================================================================




But running the same command in Stata8 you get a different output:


=====================================================================
Arellano-Bond dynamic panel-data estimation     Number of obs      =       751
Group variable (i): id                          Number of groups   =       140

                                                Wald chi2(.)       =         .

Time variable (t): year                         Obs per group: min =         5
                                                               avg =  5.364286
                                                               max =         7

Two-step results
------------------------------------------------------------------------------
D.n          |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
n            |
          LD |     .36652   .0428952     8.54   0.000     .2824469    .4505931
ys           |
          D1 |   .8148182   .0547207    14.89   0.000     .7075676    .9220689
w            |
          D1 |  -.5323957   .0380125   -14.01   0.000    -.6068989   -.4578926
k            |
          LD |   .1355049   .0309182     4.38   0.000     .0749063    .1961034
------------------------------------------------------------------------------
Warning: Arellano and Bond recommend using one-step results for 
         inference on coefficients

Sargan test of over-identifying restrictions:     
         chi2(40) =    51.84      Prob > chi2 = 0.0994

Arellano-Bond test that average autocovariance in residuals of order 1 is 0:
         H0: no autocorrelation   z =  -1.98   Pr > z = 0.0480
Arellano-Bond test that average autocovariance in residuals of order 2 is 0:
         H0: no autocorrelation   z =  -0.50   Pr > z = 0.6173

====================================================================





Does that happen for you too? If yes, I wonder whether similar problems exist for other regression types...
Tewodaj
~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~
Tewodaj Mogues
Dept. of Agricultural and Applied Economics
University of Wisconsin - Madison
427 Lorch St. #317, Taylor Hall
Madison, WI 53706

----- Original Message -----
From: Mark Schaffer <M.E.Schaffer@hw.ac.uk>
Date: Wednesday, May 12, 2004 6:39 pm
Subject: Re: st: Stata7 and Stata8 are doing two very different things.

> Tewodaj,
> 
> Quoting TEWODAJ MOGUES <tmogues@students.wisc.edu>:
> 
> > Hi Stata list users,
> > 
> > If any of you have access to both Stata7 and Stata8, I would be
> > curious to know if you have any insight why these produce different
> > results for the same commands. I haven't tried out a load of
> > different commands to see if there is always discrepancy, but given
> > my interest in dynamic panel data modelling, I tried for example
> > this and I get wildly different results:
> > 
> > xtabond y x1 x2 L.x3 , lags(1) pre(x4 x5 , lag(0,1))  twostep
> > noconstant
> > 
> > Please try it out on your own data, using any variables for the y
> > and the x's, and see the different output.
> 
> I just tried with a nonsense regression using the abdata dataset, 
> and got 
> the same results in Stata 7 and Stata 8.
> 
> Have you tried checking whether xtabond2 agrees with xtabond?
> 
> --Mark
> 
> > You don't have to know
> > much about xtabond to check whether the results are different (since
> > they should not be). After knowing what's going on here, the obvious
> > next step is to find out which of the two STata versions is "doing
> > the right thing". 
> > 
> > Thanks,
> > Tewodaj
> > 
> > ~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~
> > Tewodaj Mogues
> > Dept. of Agricultural and Applied Economics
> > University of Wisconsin - Madison
> > 427 Lorch St. #317, Taylor Hall
> > Madison, WI 53706
> > 
> > *
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> > 
> 
> 
> 
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS
> tel +44-131-451-3494 / fax +44-131-451-3008
> email: m.e.schaffer@hw.ac.uk
> web: http://www.sml.hw.ac.uk/ecomes
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