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From |
"riti@ucla.edu" <riti@ucla.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Difference-in-difference regression models |

Date |
Tue, 23 Oct 2007 14:38:20 -0700 |

Dear STATA users,

When I use the following to estimate a difference-in-difference model:

Score = constant + a0bonus + a1bonusbaseline + a2baseline + e

score bonus control baseline bonusbaseline controlbaseline

0.4 1 0 1 1 0

0.2 1 0 1 1 0

0.1 1 0 0 0 0

0.9 1 0 0 0 0

0.5 0 1 1 0 1

0.6 0 1 1 0 1

0.7 0 1 0 0 0

0.76 0 1 0 0 0

*bonusbaseline=bonus x baseline

** controlbaseline=control x baseline

The OLS estimates are:

Number of obs = 8

Source SS df MS F( 3, 4) = 0.72

Model 0.1876 3 0.0625 Prob > F = 0.5895

Residual 0.3468 4 0.0866 R-squared = 0.351

Total 0.5344 7 0.0763 Adj R-squared = -0.1357

Root MSE = 0.2944

score Coef. Std. Err. t P>t [95% ConfInterval]

bonus -0.23 0.2944 -0.78 0.478 -1.0472 0.5875

bonusbasel~e -0.02 0.4164 -0.05 0.964 -1.1761 1.1361

baseline -0.18 0.2944 -0.61 0.574 -0.9975 0.6375

_cons 0.73 0.2082 3.51 0.025 0.15192 1.3080

If instead I estimate:

Score = constant + b0bonus + b1bonusbaseline + b2controlbaseline + u

The OLS estimates are:

Number of obs = 8

Source SS df MS F( 3, 4) = 0.72

Model 0.1876 3 0.0625 Prob > F = 0.5895

Residual 0.3468 4 0.0866 R-squared = 0.351

Total 0.5344 7 0.0763 Adj R-squared = -0.1357

Root MSE = 0.2944

score Coef. Std. Err. t P>t [95% ConfInterval]

bonus -0.23 0.2944 -0.78 0.478 -1.0475 0.5875

bonusbasel~e -0.2 0.2944 -0.68 0.534 -1.0175 0.6175

controlbas~e -0.18 0.2944 -0.61 0.574 -0.9975 0.6375

_cons 0.73 0.2082 3.51 0.025 0.1519 1.3080

As seen above, I get the same coefficients and standard errors for bonus and _cons in the two regressions. Moreover, the coefficient and standard error for controlbaseline are the same as baseline in the first regression. Both sets of regressions have the same goodness of fit measures. Both sets also yield the same predicted means and marginal effects. However, the coefficients for bonusbaseline are different across regressions.

Question: What explains the difference in the coefficients for bonusbaseline across regression models?

Thanks,

Riti

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