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st: Limdep and Stata


From   "Kenneth G. Liu" <[email protected]>
To   <[email protected]>
Subject   st: Limdep and Stata
Date   Fri, 29 Jun 2007 17:07:48 -0400

Hi,

I tried to analyze a panel dataset containing observations with a maximum of 21 years in 12 countries (unbalanced panel). Fixed effect is used and the disturbance term is modelled as an AR1 process.

I used both Stata and Limdep to estimate the model ("xtregar,fe" for Stata, and "; fe; AR1;" for Limdep). However, the results (pho, coefficients and t values) turned out to significantly different. The estimated pho in Limdep is much smaller.

I know that Limdep uses a 2sls estimation with the Cochrane-Orcutt transformation, but don't know how stata estimates the model. Why did they lead to significantly different results? Which one is more appropriate?

Thanks


Gao
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