Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Re: RE: problem with -xtpcse-


From   [email protected]
To   [email protected]
Subject   st: Re: RE: problem with -xtpcse-
Date   Tue, 28 Jan 2003 10:01:21 +0100

I asked


> I am wondering if -xtpcse- really performs just ordinary OLS, as Stata's 
> help says. If this was so, a regression with -xtpcse- of mean-differenced 
> data (within transformation) should give me the same coefficients as one 
> with -xtreg, fe- on the original data, only with standard errors adapted
for 
> heteroskedasticity and contemporaneous cross section correlation (assuming

> no autocorrelation). However, I get both different coefficients and an
even 
> more different R-square. Does anyone have an idea of what could be the 
> reason? 

and Allen McDowell ([email protected]) answered:


When you removed the group means before fitting your model with -xtpcse- did

you also add the overall mean back in? That is what -xtreg, fe- does. An
easy 
way to insure that you are using the same data is to use -xtdata, fe- to 
perform the transformation and then use the resulting data with -xtpcse-. 




Thank you Allen,
I corrected this, but this actually is not the problem since it changes the
intercept only, in which I am not interested anyway.

What I am wondering about is that although OLS on mean-differenced data
(LSDV - what I am doing with -xtpcse-) should give the same coefficients as
-areg, absorb(i)-, it does not. The coefficients differ quite a lot, and the
Rsq with -xtpcse- is only half that with -areg,absorb(i)-. (I know that
there is a difference in the calculation of Rsq, just would not have thought
it would be so large. Thus I would already be happy if somebody could say
something about why the coefficients might differ.)

I am comparing the two to have the choice between their different
adjustments for the SEs, thinking that that should be the only difference
between them.

Regards,
Markus Poschke
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index