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st: Re: different results with FE


From   "Michael Blasnik" <michael.blasnik@verizon.net>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: different results with FE
Date   Thu, 29 Sep 2005 17:31:35 -0400

xtreg, fe is not a command with an iterated solution or starting values. I would guess that one or more variables in the model are somehow different in each run. Are you sure that you are using the exact same data? Perhaps you are running a do file that cleans, transforms, and otherwise prepares the variables and those commands are creating slightly different datasets each time (e.g., based on a sort order that may vary on a secondary variable).

Michael Blasnik
michael.blasnik@verizon.net


----- Original Message ----- From: "Santos, Maria Emma" <maria.e.santos@Vanderbilt.Edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, September 29, 2005 4:59 PM
Subject: st: different results with FE



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:
<snip>

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.
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