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st: SE's in Fixed Effects Model


From   "Tim R. Sass" <tsass@coss.fsu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: SE's in Fixed Effects Model
Date   Wed, 23 Jun 2004 11:45:25 -0400

I am estimating a fixed-effects panel model using two methods: (i) manually demeaning the data and running regress, (ii) running areg on the original data. I am able to get identical estimated slope coefficients from both models. However, the standard errors are very different. The standard errors should be asymptotically equivalent, so given my large sample size (21,000+ observations) the reported standard errors ought to be quite close. I tried applying the standard error correction noted by Wiggins and Gould in the Stata 6 FAQ "How can I estimate a fixed-effects regresion with instrumental variables?", but as one would expect (given my large sample size) it made very little difference. Any ideas what may be going on here? My output is given below.

Tim



. areg nrtrgain nschools chgschl, absorb(student) ;

Number of obs = 21601
F( 2, 10062) = 219.77
Prob > F = 0.0000
R-squared = 0.3732
Adj R-squared = -0.3455
Root MSE = 31.382

------------------------------------------------------------------------------
nrtrgain | Coef. Std. Err. t P>|t|
-------------+----------------------------------------------------------------
nschools | -2.487567 1.967418 -1.26 0.206
chgschl | -11.67239 .5572808 -20.95 0.000
_cons | 20.07552 2.067988 9.71 0.000


. reg de_nrtrgain de_nschools de_chgschl;

Number of obs = 21601
F( 2, 21598) = 471.74
Prob > F = 0.0000
R-squared = 0.0419
Adj R-squared = 0.0418

------------------------------------------------------------------------------
de_nrtrgain | Coef. Std. Err. t P>|t|
-------------+----------------------------------------------------------------
de_nschools | -2.487567 1.342864 -1.85 0.064
de_chgschl | -11.67239 .3803728 -30.69 0.000
_cons | 20.07552 1.411508 14.22 0.000
------------------------------------------------------------------------------

. display _se[de_chgschl]*sqrt(e(df_r)/(e(df_r)-3+1));
.38039039




Tim R. Sass
Professor Voice: (850)644-7087
Department of Economics Fax: (850)644-4535
Florida State University E-mail: tsass@coss.fsu.edu
Tallahassee, FL 32306-2180 Internet: http://garnet.acns.fsu.edu/~tsass


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