st: RE: RE: Random effect model same as OLS in dynamic model

[Chi-hong Tsai <C.Tsai@econ.usyd.edu.au>]

Hi Mark,

Thank you very much for your response. 
I have seen these previous discussions and have a good idea why it happens in Stata.
But what still bothers me is the different outcomes from Stata and Limdep.
In Limdep, I can get a reasonable RE estimation result with Sigma_u > 0.
Is it because the algorithm behind these two packages are different? 
If so, may I use the RE estimation results from Limdep and compare it with other estimators in Stata?

Many thanks for your advise.

Best Regards,
Patrick


Patrick Chi-Hong Tsai| PhD Candidate
Institute of Transport and Logistics Studies | Faculty of Economics and Business


THE UNIVERSITY OF SYDNEY
Room 201, Burren Street C37 | The University of Sydney | NSW | 2006
T +61 2 9351 0196  | E C.Tsai@econ.usyd.edu.au  | W http://sydney.edu.au/business/itls
________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] on behalf of Schaffer, Mark E [M.E.Schaffer@hw.ac.uk]
Sent: Thursday, 29 March 2012 9:15 PM
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: Random effect model same as OLS in dynamic model

Patrick,

This question comes up from time to time on Statalist, and in fact the
most recent posting was only yesterday:

http://www.stata.com/statalist/archive/2012-03/msg01262.html

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of chihongt
> Sent: 29 March 2012 05:41
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Random effect model same as OLS in dynamic model
>
> Hi all,
>
> I am running OLS,FE,and RE models on my panel data set.
> A strange thing happens when I use RE in the dynamic model
> (with one lagged variable).
> That is, the sigma_u appears to be zero which means rho=0,
> and thus the estimates and s.e. are exactly the same as OLS.
> This only happens when I include the lagged variable in the
> dynamic model but not in the static model.
>
> And when I use Limdep on the same model with the same data
> set, RE gives different results from OLS.
>
> I have had a search on Statalist, for example,
> http://statalist.1588530.n2.nabble.com/Same-results-OLS-and-Ra
> ndom-Effects-td5199084.html
>
> but it didn't give a suggestion to deal with this problem.
>
> Below is my RE regression results.
>
> So my two questions are:
> (1) Why sigma_u=0 in the RE dynamic model?  (pls don't tell
> me I should just use FE or GMM which I have already done. I
> want to do an exploratory
> analysis)
>
> (2) Why Stata and Limdep give different results for the same
> model and data set ( even in OLS the estimates are slightly
> different)?
>
> Anyone has any idea?
>
> Patrick
>
>
> Random-effects GLS regression                   Number of obs
>      =
> 236
> Group variable: group20                         Number of
> groups   =
> 20
>
> R-sq:  within  = 0.1554                         Obs per
> group: min =
> 11
>        between = 0.9752
>  avg =
> 11.8
>        overall = 0.8220
>  max =
> 12
>
>                                                 Wald chi2(7)       =
> 1052.77
> corr(u_i, X)   = 0 (assumed)                    Prob > chi2
>      =
> 0.0000
>
> --------------------------------------------------------------
> ----------------
>       pttrip |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
> Interval]
> -------------+------------------------------------------------
> ----------
> -------------+------
>       pttrip |
>          L1. |   .5171986   .0571405     9.05   0.000     .4052053
> .629192
>              |
>        price |  -.0651085   .0299721    -2.17   0.030    -.1238527
> -.0063643
>      pincome |  -1.364764   .7551779    -1.81   0.071    -2.844885
> .1153577
>         age1 |  -3.508893   .9180143    -3.82   0.000    -5.308168
> -1.709618
>  pdensity_cd |   .0117259   .0053559     2.19   0.029     .0012285
> .0222233
>  edensity_tz |   .0012031   .0003378     3.56   0.000      .000541
> .0018652
>   walkshare2 |   .0495796    .035056     1.41   0.157    -.0191288
> .118288
>        _cons |   .3881918   .0934927     4.15   0.000     .2049494
> .5714342
> -------------+------------------------------------------------
> ----------
> -------------+------
>      sigma_u |          0
>      sigma_e |  .10070681
>          rho |          0   (fraction of variance due to u_i)
> --------------------------------------------------------------
> ----------------
>
>
> --
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> e-as-OLS-in-dynamic-model-tp7416331p7416331.html
> Sent from the Statalist mailing list archive at Nabble.com.
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