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Re: st: Different Stata versions give different standard errors


From   Nick Sanders <sandersn@stanford.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Different Stata versions give different standard errors
Date   Sun, 7 Aug 2011 16:53:58 -0700

Though I can't provide exact details (but would love to hear from someone who can), I believe there was a change to the degrees of freedom calculation between Stata 9 and 10 for areg, where the (omitted) FEs were ignored in 9 but now counted as coefficients to be estimated in 10. You will find xtreg, fe to be consistent across versions (I think), and agreeing with the areg from version 9.

On Aug 7, 2011, at 5:30 PM, Richard Williams <richardwilliams.ndu@gmail.com> wrote:

> At 05:05 PM 8/7/2011, Kelly Jones wrote:
>> Hello all, Im having the following issue and wondering if anyone has
>> any experience of this or any suggestions of its cause:
>> 
>> Running the following command on the exact same data set, I get very
>> different standard errors when using different versions of Stata.  The
>> command is:
>> 
>> areg var1 … var9 if var10 & var11 & var12 & var13==1 [pw=var14],
>> absorb(var15) cluster(var16)
>> 
>> When using Stata SE 9.2 for Macintosh (on Mac OS 10.6  machine has
>> Intel core 2 duo processor, but Stata version is not for multi-core).
>> the SE on the coeff for var1 is .019;
>> 
>> When using Stata MP 11.2 on Windows 7 (machine has Intel core i7
>> processor) the coefficient estimate is the same but the SE is .032!
> 
> On the win7 machine, I would try prefixing your command with version 9.2:
> 
> Then, if the standard error is .019, it will suggest the change is due to some change in areg across versions of Stata. If it is .032, it will suggest something about differences across hardware platforms.
> 
> 
> -------------------------------------------
> Richard Williams, Notre Dame Dept of Sociology
> OFFICE: (574)631-6668, (574)631-6463
> HOME:   (574)289-5227
> EMAIL:  Richard.A.Williams.5@ND.Edu
> WWW:    http://www.nd.edu/~rwilliam
> 
> 
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