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st: different results with FE


From   "Santos, Maria Emma" <maria.e.santos@Vanderbilt.Edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: different results with FE
Date   Thu, 29 Sep 2005 15:59:46 -0500

I am estimating a fixed effects model with the command xtreg 
and every time I estimate, exactly the SAME model, I get
different estimation results: different coefficients,
and different levels of significance. Variables change the
level of significance from being non sig to being significant at 10%
to being significant at 5%! 
I don't see how or why this may happen.


This is the command I am writting:

xtreg ltheil2ie lunemp lreedu lrprim lrsup lelectricity lelectricitysq ldepindex
lshare2 if (year>1997),fe;

(all variables are in logs)

The following three results are an example of how different my
results can be:

(1)

Fixed-effects (within) regression               Number of obs      =       157
Group variable (i): id2                         Number of groups   =        28

R-sq:  within  = 0.4867                         Obs per group: min =         4
       between = 0.3483                                        avg =       5.6
       overall = 0.4355                                        max =         6

                                                F(9,120)           =     12.64
corr(u_i, Xb)  = -0.0689                        Prob > F           =    0.0000

------------------------------------------------------------------------------
   ltheil2ie |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      lunemp |   .2229948   .0249649     8.93   0.000      .173566    .2724236
      lreedu |   .1180611   .0428117     2.76   0.007     .0332969    .2028253
      lrprim |  -1.649794   .5064185    -3.26   0.001    -2.652467   -.6471206
       lrsec |   .2077582   .1722232     1.21   0.230    -.1332318    .5487482
       lrsup |  -.0384691    .088997    -0.43   0.666    -.2146771    .1377388
lelectricity |  -.0027886   .0652681    -0.04   0.966    -.1320149    .1264376
lelectrici~q |   .0155034   .0636444     0.24   0.808     -.110508    .1415149
     lshare2 |  -.2545261   .0878008    -2.90   0.004    -.4283656   -.0806867
   ldepindex |   .5007121   .2549344     1.96   0.052    -.0040403    1.005465
       _cons |  -2.365994   .9358431    -2.53   0.013    -4.218898     -.51309
-------------+----------------------------------------------------------------
     sigma_u |  .07689923
     sigma_e |  .10595896
         rho |  .34499518   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0:     F(27, 120) =     2.15             Prob > F = 0.0026


(2) Results of exactly the SAME model, just run at another time:

Fixed-effects (within) regression               Number of obs      =       157
Group variable (i): id2                         Number of groups   =        28

R-sq:  within  = 0.4629                         Obs per group: min =         4
       between = 0.3493                                        avg =       5.6
       overall = 0.4298                                        max =         6

                                                F(9,120)           =     11.49
corr(u_i, Xb)  = -0.0264                        Prob > F           =    0.0000

------------------------------------------------------------------------------
   ltheil2ie |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      lunemp |   .2215847   .0258759     8.56   0.000     .1703523     .272817
      lreedu |   .0925941   .0434583     2.13   0.035     .0065496    .1786386
      lrprim |  -1.507966   .5257904    -2.87   0.005    -2.548994   -.4669373
       lrsec |   .2356492   .1899493     1.24   0.217    -.1404372    .6117357
       lrsup |  -.1277904   .0892154    -1.43   0.155    -.3044306    .0488498
lelectricity |  -.0177035   .0670554    -0.26   0.792    -.1504686    .1150616
lelectrici~q |   .0415298   .0638548     0.65   0.517    -.0848982    .1679579
     lshare2 |  -.2643193   .0881324    -3.00   0.003    -.4388153   -.0898234
   ldepindex |   .3461164   .2478695     1.40   0.165    -.1446479    .8368808
       _cons |  -1.976496   .9175012    -2.15   0.033    -3.793084   -.1599073
-------------+----------------------------------------------------------------
     sigma_u |  .07472599
     sigma_e |  .10806872
         rho |   .3234682   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0:     F(27, 120) =     1.90             Prob > F = 0.0103

(3) Results of exactly the SAME model, just run at another time:

Fixed-effects (within) regression               Number of obs      =       157
Group variable (i): id2                         Number of groups   =        28

R-sq:  within  = 0.5041                         Obs per group: min =         4
       between = 0.3077                                        avg =       5.6
       overall = 0.4283                                        max =         6

                                                F(9,120)           =     13.56
corr(u_i, Xb)  = -0.0703                        Prob > F           =    0.0000

------------------------------------------------------------------------------
   ltheil2ie |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      lunemp |   .2167134   .0231063     9.38   0.000     .1709645    .2624622
      lreedu |   .0971098    .041291     2.35   0.020     .0153566     .178863
      lrprim |  -1.409938   .4957602    -2.84   0.005    -2.391509   -.4283672
       lrsec |   .2751781    .163676     1.68   0.095    -.0488889    .5992451
       lrsup |  -.0548135   .0821648    -0.67   0.506    -.2174942    .1078671
lelectricity |  -.0651719   .0649134    -1.00   0.317    -.1936959     .063352
lelectrici~q |   .0817531   .0609845     1.34   0.183     -.038992    .2024982
     lshare2 |   -.260746    .078065    -3.34   0.001    -.4153093   -.1061827
   ldepindex |   .6116727   .2411518     2.54   0.012      .134209    1.089136
       _cons |  -2.727725   .8835034    -3.09   0.003       -4.477   -.9784494
-------------+----------------------------------------------------------------
     sigma_u |  .08130385
     sigma_e |  .10147583
         rho |  .39096577   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0:     F(27, 120) =     2.75             Prob > F = 0.0001


As you can see, the coefficients are different every time, the F value too.
In particular the variable "lrsec" that is not sig the first and second time I
run the regression, it turns out significant at 10% the third time.

Similarly, the variable "ldepindex" has a coefficient of 0.5 an 10% level of
significance the first time I run the regression, while the coefficient is 0.346
the second time I estimate and is not significant, and the third time I run the
regression has a coefficient of 0.61 and is significant at 5%!

I really don't know what may be going on, since it is a quite standard model
that I am using. Do I need to set any "start" value or sth like that so that
every time I run the fixed effects model I get the same results?

Please, if someone has a hint on this I would really appreciate it.

Sincerely yours,
Maria.

-----------------------------------------------------------------
Santos, Maria Emma
Vanderbilt University
Email: maria.e.santos@Vanderbilt.Edu
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