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


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
> > > > 
> > > > *
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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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