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st: Re: xtreg v areg


From   Christopher F Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: xtreg v areg
Date   Mon, 14 Jun 2004 14:52:09 +0100

Apples and oranges make a good fruit salad, but...

The areg shows 11 region categories. The xtreg shows 304 groups of 'pano'. If you use the same variable (e.g. region) in both commands, you will get the same coefficients/std errors, or your computer is broken.

Kit

On Jun 12, 2004, at 7:33 AM, Clive wrote:



Whilst I was perfecting my LSDV models, I assumed (both from Mark's and
Kit Baum's comments) that the coefficients from them would indeed be the
same as FE. Not from my data. An example:

. areg edconch lagconch laglabch lagldmch if edmarker==1, absorb(region)

Number of obs =
2187
F( 3, 2173) =
89.91
Prob > F =
0.0000
R-squared =
0.1379
Adj R-squared =
0.1328
Root MSE =
10.752

- ----------------------------------------------------------------------- -------
edconch | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
- ------------- +----------------------------------------------------------------
lagconch | -1.145137 .1207652 -9.48 0.000 -1.381964
- -.9083096
laglabch | -.7120315 .1372847 -5.19 0.000 -.9812545
- -.4428084
lagldmch | -.8160474 .1272037 -6.42 0.000 -1.065501
- -.5665938
_cons | -12.85246 .2432762 -52.83 0.000 -13.32953
- -12.37538
- ------------- +----------------------------------------------------------------
region | F(10, 2173) = 7.705 0.000 (11
categories)

. xtreg edconch lagconch laglabch lagldmch region if edmarker==1, fe

Fixed-effects (within) regression Number of obs =
2187
Group variable (i): pano Number of groups =
304

R-sq: within = 0.1970 Obs per group: min =
1
between = 0.0000 avg =
7.2
overall = 0.1049 max =
11

F(3,1880) =
153.72
corr(u_i, Xb) = -0.0409 Prob > F =
0.0000

- ----------------------------------------------------------------------- -------
edconch | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
- ------------- +----------------------------------------------------------------
lagconch | -1.351399 .1029873 -13.12 0.000 -1.553381
- -1.149418
laglabch | -.9368757 .1180488 -7.94 0.000 -1.168396
- -.7053552
lagldmch | -1.048965 .1090272 -9.62 0.000 -1.262792
- -.8351383
region | (dropped)
_cons | -12.95549 .1934802 -66.96 0.000 -13.33495
- -12.57603
- ------------- +----------------------------------------------------------------
sigma_u | 8.0146543
sigma_e | 8.4675555
rho | .47254255 (fraction of variance due to u_i)
- ----------------------------------------------------------------------- -------
F test that all u_i=0: F(303, 1880) = 5.76 Prob > F =
0.0000

Exactly the same results occur if I use individual dummy variables in
- -xtreg, fe-.

As they might say in the UK's "Private Eye" magazine, is any difference
between them a coincidence? I think we should be told.
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