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Re: st: residuals change after reloading data


From   George Vega Yon <g.vegayon@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: residuals change after reloading data
Date   Fri, 22 Mar 2013 11:45:03 -0300

It has to do with the sorting, everytime you run "bys id: gen lag_e =
e[_n-1]", as there is a time variable, stata makes a different
sorting, thus changing the results, try using "sort id time" before
that line and replace "bys id:..." with "by id: ...". That should
work.

Cheers!

George Vega Yon
7 647 2552
http://cl.linkedin.com/in/georgevegayon


2013/3/22 Yogesh Uppal <stata.list.queries@gmail.com>:
> Hi Statalisters,
>
> There may be a real simple answer to it. But I can't seem to figure
> out why. Suppose I run a regression of the following form to test for
> serial correlation (as suggested by Wooldridge):
>
> xi: ivreg2 y x1 x2 [x3=z1 z2 z3] i.id i.time, robust
> predict e, resid
> bys id: gen lag_e = e[_n-1]
> xi: ivreg2 y x1 x2 [x3=z1 z2 z3] i.id i.time lag_e, robust
>
> Every time I clear the data from memory and reload it and run the
> regressions again, the residuals change and so do the results of the
> serial correlation test. So, I am not sure which results to use.
>
> I appreciate any advice regarding what I am missing here. Many thanks!
>
> Yogesh
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