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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   statalist@hsphsun2.harvard.edu
Subject   Re: st: Stata7 and Stata8 are doing two very different things.
Date   Thu, 13 May 2004 15:47:04 +0100

Tewodaj,

-update query-

should tell you what you need to know.

Cheers,
Mark

Date sent:      	Thu, 13 May 2004 09:23:52 -0500
From:           	TEWODAJ MOGUES <tmogues@students.wisc.edu>
Subject:        	Re: st: Stata7 and Stata8 are doing two very different things.
To:             	M.E.Schaffer@hw.ac.uk
Copies to:      	tmogues@wisc.edu, statalist@hsphsun2.harvard.edu
Send reply to:  	statalist@hsphsun2.harvard.edu

> 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 427 Lorch St. #317, Taylor Hall Madison, WI 53706 Cell:  
> > > ----- 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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> > > > > *   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
> > > > ________________________________________________________________
> > > > 
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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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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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*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



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