[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

From |
TEWODAJ MOGUES <tmogues@students.wisc.edu> |

To |
M.E.Schaffer@hw.ac.uk |

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

Date |
Thu, 13 May 2004 09:23:52 -0500 |

Mark, That's interesting! So I assume that when you try the regression I sent you on the updated Stata7, it gives the Stata8 results? I'm glad I know now why I am getting the differences (though it's also a bit disturbing since I derived all my key results on Stata7, and things are looking quite different now ...). If I could find out in what way Stata7 was updated to yield these different results -- i.e. how one would have to specify the regression differently in Stata8 to get the old-Stata7 results -- that would help. I'll see if I can figure out what the update consisted of. Thanks, 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: Thursday, May 13, 2004 3:48 am Subject: Re: st: Stata7 and Stata8 are doing two very different things. > 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/

**Follow-Ups**:**Re: st: Stata7 and Stata8 are doing two very different things.***From:*"Mark Schaffer" <M.E.Schaffer@hw.ac.uk>

- Prev by Date:
**st: Poisson estimators for space time series in Stata** - Next by Date:
**st: Declaring time series** - Previous by thread:
**Re: st: Stata7 and Stata8 are doing two very different things.** - Next by thread:
**Re: st: Stata7 and Stata8 are doing two very different things.** - Index(es):

© Copyright 1996–2016 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |