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


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   tmogues@wisc.edu
Subject   Re: st: Stata7 and Stata8 are doing two very different things.
Date   Thu, 13 May 2004 09:48:13 +0100

Tewodaj,

Date sent:      	Wed, 12 May 2004 23:05:15 -0500
From:           	TEWODAJ MOGUES <tmogues@students.wisc.edu>
Subject:        	Re: st: Stata7 and Stata8 are doing two very different things.
To:             	Mark Schaffer <M.E.Schaffer@hw.ac.uk>
Copies to:      	statalist@hsphsun2.harvard.edu
Send reply to:  	tmogues@wisc.edu
Priority:       	normal

> 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:

I tried your example here at work, where I have Stata 8 and a not-
fully-updated Stata 7, and I got your results, i.e., they disagree.

At home I have a fully-updated Stata 7, and when I tried the 
experiment last night with a slightly different specification, they 
agreed.

I can check again when I go home with exactly your specification, but 
maybe you want see if the version of Stata 7 you are using is the 
latest update that was released?

Cheers,
Mark


> 
> 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
> 
> ----- 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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> 


Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
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