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st: xtregar in STATA vs. proc mixed in SAS


From   "Ma, Yu-Luen" <yma@ilstu.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: xtregar in STATA vs. proc mixed in SAS
Date   Thu, 18 Mar 2010 14:52:06 -0500

I estimated fixed effect models with AR(1) error strcture using both
STATA and SAS but received significantly different results. Below are
the programs that I used in each:

STATA:
tsset id time
xtregar y x1 x2, fe

SAS:
Proc mixed method=reml data=xxx;
class id time;
model y = id x1 x2 /s;
repeated/type=ar(1) subject=id ;

Shouldn't I expect similar (if not identical) results from both
software? Am I missing something? Thanks. 

Yuluen

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