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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 > > > > > > * > > > * For searches and help try: > > > * http://www.stata.com/support/faqs/res/findit.html > > > * http://www.stata.com/support/statalist/faq > > > * http://www.ats.ucla.edu/stat/stata/ > > > > > > > > > > > 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 > > ________________________________________________________________ > > > > DISCLAIMER: > > > > This e-mail and any files transmitted with it are confidential > > and intended solely for the use of the individual or entity to > > whom it is addressed. If you are not the intended recipient > > you are prohibited from using any of the information contained > > in this e-mail. In such a case, please destroy all copies in > > your possession and notify the sender by reply e-mail. Heriot > > Watt University does not accept liability or responsibility > > for changes made to this e-mail after it was sent, or for > > viruses transmitted through this e-mail. Opinions, comments, > > conclusions and other information in this e-mail that do not > > relate to the official business of Heriot Watt University are > > not endorsed by it. > > ________________________________________________________________ > > > 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 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**Re: st: Stata7 and Stata8 are doing two very different things.***From:*TEWODAJ MOGUES <tmogues@students.wisc.edu>

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