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Re: st: Why do I get two different results from the same specification and the same dataset?


From   Joerg Luedicke <joerg.luedicke@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Why do I get two different results from the same specification and the same dataset?
Date   Sun, 6 Nov 2011 09:16:16 -0500

You must have made a mistake when creating your interaction terms
"directly". I cannot think of any other explanation.

J.

On Sun, Nov 6, 2011 at 7:24 AM, Yuval Arbel <yuval.arbel@gmail.com> wrote:
> Dear statalist participants,
>
> when I run the following regression
>
> reg bid_win dev_cost bid_num year area units min min_price
> c.dev_cost#i.min c.bid_num#i.min c.year#i.min c.area#i.min
> c.units#i.min
>
> I get the following output:
>
>
>      Source |       SS       df       MS              Number of obs =    6802
> -------------+------------------------------           F( 12,  6789) = 2891.19
>       Model |  7.0107e+17    12  5.8423e+16           Prob > F      =  0.0000
>    Residual |  1.3719e+17  6789  2.0207e+13           R-squared     =  0.8363
> -------------+------------------------------           Adj R-squared =  0.8361
>       Total |  8.3826e+17  6801  1.2326e+14           Root MSE      =  4.5e+06
>
> ------------------------------------------------------------------------------
>     bid_win |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
>    dev_cost |  -.0782451   .1319286    -0.59   0.553    -.3368666    .1803764
>     bid_num |   53637.98   18087.12     2.97   0.003     18181.54    89094.41
>        year |   61991.65   44544.85     1.39   0.164    -25330.21    149313.5
>        area |   204.3705   105.0742     1.95   0.052    -1.607834    410.3488
>       units |   52691.04   11756.39     4.48   0.000     29644.82    75737.26
>         min |   1.04e+08   9.74e+07     1.06   0.288    -8.73e+07    2.95e+08
>   min_price |   3.956053   .0241168   164.04   0.000     3.908777     4.00333
>             |
>         min#|
>  c.dev_cost |
>          1  |   -.460682   .1391518    -3.31   0.001    -.7334631    -.187901
>             |
>         min#|
>   c.bid_num |
>          1  |  -43194.68   19552.09    -2.21   0.027     -81522.9   -4866.457
>             |
>  min#c.year |
>          1  |  -51639.35   48543.57    -1.06   0.287      -146800    43521.27
>             |
>  min#c.area |
>          1  |   186.6343   110.1857     1.69   0.090    -29.36416    402.6327
>             |
>  min#c.units |
>          1  |  -128569.4   12642.23   -10.17   0.000    -153352.2   -103786.7
>             |
>       _cons |  -1.25e+08   8.94e+07    -1.39   0.163    -3.00e+08    5.05e+07
> ------------------------------------------------------------------------------
>
>
> But when I define directly the interaction variables, and run the
> regression, I get different outcomes:
>
> . reg bid_win dev_cost bid_num year area units min min_price
> dev_cost_int bid_num_int year_int area_int units_int
>
>      Source |       SS       df       MS              Number of obs =    6802
> -------------+------------------------------           F( 12,  6789) = 2840.90
>       Model |  6.9905e+17    12  5.8254e+16           Prob > F      =  0.0000
>    Residual |  1.3921e+17  6789  2.0505e+13           R-squared     =  0.8339
> -------------+------------------------------           Adj R-squared =  0.8336
>       Total |  8.3826e+17  6801  1.2326e+14           Root MSE      =  4.5e+06
>
> ------------------------------------------------------------------------------
>     bid_win |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
>    dev_cost |   .3458744   .1259233     2.75   0.006     .0990254    .5927235
>     bid_num |   50612.77   18218.04     2.78   0.005     14899.71    86325.84
>        year |    26138.3   44731.32     0.58   0.559     -61549.1    113825.7
>        area |    796.392   88.98841     8.95   0.000     621.9468    970.8371
>       units |  -56322.78   4522.886   -12.45   0.000    -65189.06   -47456.51
>         min |   2.11e+07   9.78e+07     0.22   0.829    -1.71e+08    2.13e+08
>   min_price |   3.914549   .0241269   162.25   0.000     3.867252    3.961845
> dev_cost_int |  -.9575921   .1316807    -7.27   0.000    -1.215728   -.6994567
>  bid_num_int |  -40191.13   19694.51    -2.04   0.041    -78798.54   -1583.728
>    year_int |  -10450.87   48755.43    -0.21   0.830    -106026.8    85125.05
>    area_int |  -443.5883   91.15801    -4.87   0.000    -622.2866     -264.89
>   units_int |  -.2338972    .131622    -1.78   0.076    -.4919176    .0241233
>       _cons |  -5.29e+07   8.98e+07    -0.59   0.556    -2.29e+08    1.23e+08
> ------------------------------------------------------------------------------
>
> My question is why do I get two different results from the same specification?
> Just to exemplify: note that the coefficient of "dev_cost" has
> modified signs and became significant
>
> --
> Dr. Yuval Arbel
> School of Business
> Carmel Academic Center
> 4 Shaar Palmer Street, Haifa, Israel
> e-mail: yuval.arbel@gmail.com
> *
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>

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