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st: SAS proc autoreg and Stata arima


From   "George Kikuchi 菊池 城治" <gkikuchi@nrips.go.jp>
To   statalist@hsphsun2.harvard.edu
Subject   st: SAS proc autoreg and Stata arima
Date   Thu, 05 Feb 2009 02:15:35 +0900

Hello List,

My question may be a too simple question to be asked on the list, but I hope some of you may be kind enough to help me out.

I am trying to replicate somebody else's time series analysis that was conducted in SAS (proc autoreg, in particular).  Below is the SAS code that I am trying to replicate, followed by Stata code that I believe is doing the same analysis.  

Although the regression coefficient estimates by these codes are virtually the same, the direction of autoregressive error coefficients are in the opposite.

Am I doing something wrong?  Do I need to specify certain options to get the same results?

**** SAS code ***
proc autoreg data=test.japan09 all method=ml;
model murdr = welf gini unemp drate fl urbanper mpr20_29 clr1/ nlag=(1 2)  dw=6 dwprob;
run;

*** Stata code ***
arima  murdr welf gini unemp drate fl urbanper mpr20_29 clr1, ar(1/2)


*** SAS output ****
                                     Standard                 Approx
 Variable        DF     Estimate        Error    t Value    Pr > |t|    Variable Label

 Intercept        1      -0.2291       1.3726      -0.17      0.8683
 WELF             1       0.0901       0.0139       6.50      <.0001
 GINI             1       2.5837       1.0148       2.55      0.0150
 UNEMP            1       0.0807       0.0464       1.74      0.0901    
 DRATE            1      -0.1187       0.1509      -0.79      0.4363    
 FL               1    -0.009282     0.008776      -1.06      0.2967
 URBANPER         1      -0.0159     0.007080      -2.25      0.0302  
 MPR20_29         1       0.1578       0.0270       5.84      <.0001
 CLR1             1     0.003780     0.003500       1.08      0.2867
 AR1              1      -0.4149       0.1392      -2.98      0.0049
 AR2              1       0.5435       0.1374       3.96      0.0003




*** Stata output***
ARIMA regression

Sample:  1951 - 2000                            Number of obs      =        50
                                                Wald chi2(10)      =   7883.00
Log likelihood =  61.32109                      Prob > chi2        =    0.0000

------------------------------------------------------------------------------
             |                 OPG
       murdr |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
murdr        |
        welf |   .0900617   .0143372     6.28   0.000     .0619613     .118162
        gini |   2.583805   .8179648     3.16   0.002     .9806232    4.186986
       unemp |   .0807053   .0521775     1.55   0.122    -.0215608    .1829714
       drate |  -.1186688   .1867984    -0.64   0.525    -.4847869    .2474493
          fl |   -.009291   .0096179    -0.97   0.334    -.0281418    .0095598
    urbanper |  -.0159288   .0061898    -2.57   0.010    -.0280606   -.0037971
    mpr20_29 |   .1577909   .0355243     4.44   0.000     .0881645    .2274172
        clr1 |    .003777   .0050106     0.75   0.451    -.0060437    .0135977
       _cons |  -.2280505   1.405894    -0.16   0.871    -2.983553    2.527452
-------------+----------------------------------------------------------------
ARMA         |
          ar |
         L1. |   .4148975   .1494673     2.78   0.006      .121947     .707848
         L2. |  -.5435063   .1329498    -4.09   0.000    -.8040832   -.2829295
-------------+----------------------------------------------------------------
      /sigma |   .0704317   .0093342     7.55   0.000     .0521371    .0887263
------------------------------------------------------------------------------


Thank you,

George


***************************************
George Kikuchi, Ph.D.

National Research Institute of Police Science
Department of Criminology and Behavioral Sciences
Crime Prevention Section

6-3-1 Kashiwanoha
Kashiwa-shi, Chiba 277-0882
Japan

TEL: +81-4-7135-8001 ext.2641
FAX: +81-4-7133-9184
e-mail: gkikuchi@nrips.go.jp
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