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RE: AW: st: WG: XML TAB - inconsistent p-value output


From   "Seed, Paul" <paul.seed@kcl.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: AW: st: WG: XML TAB - inconsistent p-value output
Date   Mon, 17 Jun 2013 09:40:11 +0000

Dear Statalist, 

To add to the confusion with -xtscc- and -xml_tab-
that Ingo Kleindienst & Sergiy Radyakin have already commented on, 
I followed Inigo's instructions and go a completely different set of 
results from -xtscc-.

This suggests the problem is with -xtscc-, not -xml_tab-.

. version
version 11.2

. which xml_tab
c:\ado\stbplus\x\xml_tab.ado
*! version 3.50 24Jun2008 M. Lokshin, Z. Sajaia

. which xtscc
c:\ado\stbplus\x\xtscc.ado
*! xtscc, version 1.1.4, Daniel Hoechle, 27feb2007

. xtscc return patents patentsg stckpr merger sic sales

Regression with Driscoll-Kraay standard errors   Number of obs     =      2252
Method: Pooled OLS                               Number of groups  =       226
Group variable (i): cusip                        F(  6,   225)     =    239.83
maximum lag: 2                                   Prob > F          =    0.0000
                                                 R-squared         =    0.0983
                                                 Root MSE          =    5.2641

------------------------------------------------------------------------------
             |             Drisc/Kraay
      return |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     patents |  -.0012341   .0048402    -0.25   0.799     -.010772    .0083037
    patentsg |  -.0029532   .0038567    -0.77   0.445    -.0105531    .0046466
      stckpr |   .0745453   .0123332     6.04   0.000      .050242    .0988487
      merger |  -1.187542   .5551972    -2.14   0.034    -2.281593   -.0934909
         sic |  -4.54e-06    .000188    -0.02   0.981    -.0003751     .000366
       sales |  -.0000461   .0000351    -1.31   0.190    -.0001152    .0000231
       _cons |   6.515627   .5316984    12.25   0.000     5.467881    7.563372
------------------------------------------------------------------------------

. eret li

scalars:
                  e(N) =  2252
                e(N_g) =  226
               e(df_m) =  6
               e(df_r) =  225
                  e(F) =  239.8315327428236
                 e(r2) =  .0982803084873544
               e(rmse) =  5.264078304739547
                e(lag) =  2

macros:
                e(cmd) : "xtscc"
            e(predict) : "xtscc_p"
             e(method) : "Pooled OLS"
             e(depvar) : "return"
            e(vcetype) : "Drisc/Kraay"
              e(title) : "Regression with Driscoll-Kraay standard errors"
           e(groupvar) : "cusip"
         e(properties) : "b V"

matrices:
                  e(b) :  1 x 7
                  e(V) :  7 x 7
                  e(t) :  1 x 7
            e(se_beta) :  1 x 7

functions:
             e(sample)   

*** End of Stata output ***
***************************
For comparison, Inigo reported:
The p-values for the xtscc model in the Stata results monitor are:

Patents	0.815
Patensg	0.487
Stckpr	0.000
Merger	0.073
Sic		0.982
Sales		0.245

The p-values for the xtscc model in the Excel-file created using xml_tab are:

Patents	0.809
Patensg	0.468
Stckpr	0.000
Merger	0.043
Sic		0.982
Sales		0.213

*******************************


Best wishes, 
Paul T Seed 



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