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st: Re: Re: Re: Limdep and Stata


From   "Rodrigo A. Alfaro" <[email protected]>
To   <[email protected]>
Subject   st: Re: Re: Re: Limdep and Stata
Date   Fri, 29 Jun 2007 18:04:01 -0400

You wrote:
"Limdep uses a 2sls estimation with the Cochrane-Orcutt transformation"

I overlooked... 2sls estimation?? it sounds that you are using instruments!!
You should use -xtivreg- or -xtivreg2-, but I don't understand your
sentence (in estimation terms)

I don't have Limdep manuals, then I don't know the procedure involved.

Rodrigo.

----- Original Message ----- From: "Kenneth G. Liu" <[email protected]>
To: <[email protected]>
Sent: Friday, June 29, 2007 5:33 PM
Subject: st: Re: Re: Limdep and Stata



I thought I could also. But the default option of -xtregar, fe- just gave me quite different estimations. Anyone knows the reason?

Thanks

Gao
----- Original Message ----- From: "Rodrigo A. Alfaro" <[email protected]>
To: <[email protected]>
Sent: 2007?6?29? 5:27 PM
Subject: st: Re: Limdep and Stata



I think that you can replicate LIMDEP results using -xtregar, fe-
Rodrigo.

----- Original Message ----- From: "Kenneth G. Liu" <[email protected]>
To: <[email protected]>
Sent: Friday, June 29, 2007 5:07 PM
Subject: st: Limdep and Stata



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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