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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 > > > > > > > > > > * > > > > > * 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/ 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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