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Re: st: xtregar in STATA vs. proc mixed in SAS


From   David Jacobs <jacobs.184@sociology.osu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtregar in STATA vs. proc mixed in SAS
Date   Thu, 18 Mar 2010 16:20:18 -0400

First, I don't know anything about SAS. Is your -Proc mixed-analysis a SAS version of fixed-effects (in the econometric meaning of that term as exemplified by adding case dummies to an OLS model; not the multilevel or Hierarchial Linear Models alternative meaning). In fact, I thought -proc-mixed- in SAS estimated multilevel models, so the term fixed-effects would have a different meaning in -proc-mixed- than it would in -xtregar-.

Second even if your SAS routine estimates econometic fixed-effects, much depends on calculation defaults. For example, Stata offers about 6 or 7 different ways to compute the AR(1) correction; Stata may not use the SAS default method.

My experience is that the fixed-effects estimators in Stata, EViews, and Limdep give virtually identical results, but this does not hold for random-effects because programs typically vary in the default methods they use to estimate random-effects. And this probably is the case for AR(1) corrections. Any of these differences, of course, would explain your divergent results.

Dave Jacobs

At 03:52 PM 3/18/2010, you wrote:
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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