# st: RE: SE's in Fixed Effects Model

 From "Boylan, Richard" To Subject st: RE: SE's in Fixed Effects Model Date Wed, 23 Jun 2004 10:54:42 -0500

```In method (i) you need to adjust the degree of freedom.  If you compare
the standard errors in the two estimates you will notice that they are
identical up to a scalar (approx = 1.46).
Richard

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Tim R. Sass
Sent: Wednesday, June 23, 2004 10:45 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: SE's in Fixed Effects Model

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
-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

------------------------------------------------------------------------
------
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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```