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From |
Sutirtha Bagchi <sutirthabagchi@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Problem with standard errors using eststo |

Date |
Wed, 6 Feb 2013 09:33:30 -0500 |

I am having a problem with standard errors using eststo. My problem is that if I estimate a regression without using eststo and then estimate exactly the same regression with eststo, my standard errors change. This is a problem which had been raised about a year ago in this post: http://www.stata.com/statalist/archive/2012-01/msg00085.html and although the final verdict on this from Nick Cox was that "-eststo- is not in any sense changing standard errors and that your main problem lies elsewhere", I am not so sure that the advice holds in my case. In any event, I am attaching the two lines of code that I run and the output that I get from those. Please note how the standard errors (and the associated t-stats) change when I use eststo in the second line of code. Line of code #1: xi: xtreg fundratio compttve7, fe cluster(county) Line of code #2: eststo: xi: xtreg fundratio compttve7, fe cluster(county) Output from line of code #1: Fixed-effects (within) regression Number of obs = 3385 Group variable: municipali~m Number of groups = 1262 R-sq: within = 0.0266 Obs per group: min = 1 between = 0.0000 avg = 2.7 overall = 0.0042 max = 3 F(1,64) = 12.52 corr(u_i, Xb) = -0.1392 Prob > F = 0.0008 (Std. Err. adjusted for 65 clusters in county) ------------------------------------------------------------------------------ | Robust fundratio | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- compttve7 | -336.4875 95.10119 -3.54 0.001 -526.4739 -146.501 _cons | 115.1093 10.24336 11.24 0.000 94.64585 135.5728 -------------+---------------------------------------------------------------- sigma_u | 116.71559 sigma_e | 91.487051 rho | .61941958 (fraction of variance due to u_i) ------------------------------------------------------------------------------ Output from line of code #2: Fixed-effects (within) regression Number of obs = 3385 Group variable: municipali~m Number of groups = 1262 R-sq: within = 0.0266 Obs per group: min = 1 between = 0.0000 avg = 2.7 overall = 0.0042 max = 3 F(1,64) = 7.85 corr(u_i, Xb) = -0.1392 Prob > F = 0.0067 (Std. Err. adjusted for 65 clusters in county) ------------------------------------------------------------------------------ | Robust fundratio | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- compttve7 | -336.4875 120.0782 -2.80 0.007 -576.3713 -96.60364 _cons | 115.1093 12.93364 8.90 0.000 89.2714 140.9472 -------------+---------------------------------------------------------------- sigma_u | 116.71559 sigma_e | 91.487051 rho | .61941958 (fraction of variance due to u_i) ------------------------------------------------------------------------------ (est146 stored) I should also mention that this problem comes up only when I am using the cluster option. That is, when I run: xi: xtreg fundratio compttve7, fe and eststo: xi: xtreg fundratio compttve7, fe, I get exactly the same results (i.e. same standard errors and same t-stats). Also, I have updated all my packages using adoupdate and given the status message: "(no packages require updating)" I look forward to hearing the listserv's solutions to the problem. Thank you, Sutirtha Bagchi * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Problem with standard errors using eststo***From:*Austin Nichols <austinnichols@gmail.com>

**Re: st: Problem with standard errors using eststo***From:*Nick Cox <njcoxstata@gmail.com>

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