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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Problem with standard errors using eststo |

Date |
Wed, 6 Feb 2013 10:04:47 -0500 |

Sutirtha Bagchi <sutirthabagchi@gmail.com>: I do not see that you have addressed the advice in http://www.stata.com/statalist/archive/2012-01/msg00087.html Can you reproduce your result on a publicly available dataset such as webuse grunfeld, clear xtreg mvalue kstock, fe cluster(company) eststo e1 eststo:xtreg mvalue kstock, fe cluster(company) esttab * and can you prefix each command with version 11: and still get the same output? On Wed, Feb 6, 2013 at 9:33 AM, Sutirtha Bagchi <sutirthabagchi@gmail.com> wrote: > 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. * * 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/

**References**:**st: Problem with standard errors using eststo***From:*Sutirtha Bagchi <sutirthabagchi@gmail.com>

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