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st: Re: Re: RE: problem with -xtpcse-


From   "Scott Merryman" <[email protected]>
To   <[email protected]>
Subject   st: Re: Re: RE: problem with -xtpcse-
Date   Tue, 28 Jan 2003 07:30:51 -0600

----- Original Message -----
From: <[email protected]>
To: <[email protected]>
Sent: Tuesday, January 28, 2003 3:01 AM
Subject: st: Re: RE: problem with -xtpcse-


> 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.)
>

Are you de-meaning the data correctly?

Using -xtpcse- with dummy variables, or using -xtdata, fe- to transform the data
and then -xtpcse- produces the same coefficient estimates as -areg-.

. webuse grunfeld

. areg inv mv kst, ab(co)

                                                       Number of obs =     200
                                                       F(  2,   188) =  309.01
                                                       Prob > F      =  0.0000
                                                       R-squared     =  0.9441
                                                       Adj R-squared =  0.9408
                                                       Root MSE      =  52.768

------------------------------------------------------------------------------
      invest |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      mvalue |   .1101238   .0118567     9.29   0.000     .0867345    .1335131
      kstock |   .3100653   .0173545    17.87   0.000     .2758308    .3442999
       _cons |  -58.74393   12.45369    -4.72   0.000    -83.31086     -34.177
-------------+----------------------------------------------------------------
     company |         F(9, 188) =     49.177   0.000          (10 categories)

. xi i.com
i.company         _Icompany_1-10      (naturally coded; _Icompany_1 omitted)

. xtpcse inv mva kst _I*

Linear regression, correlated panels corrected standard errors (PCSEs)

Group variable:   company                       Number of obs      =       200
Time variable:    year                          Number of groups   =        10
Panels:           correlated (balanced)         Obs per group: min =        20
Autocorrelation:  no autocorrelation                           avg =        20
                                                               max =        20
Estimated covariances      =        55          R-squared          =    0.9441
Estimated autocorrelations =         0          Wald chi2(11)      =   4460.13
Estimated coefficients     =        12          Prob > chi2        =    0.0000

------------------------------------------------------------------------------
             |           Panel-corrected
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      mvalue |   .1101238   .0175568     6.27   0.000     .0757132    .1445344
      kstock |   .3100653   .0245731    12.62   0.000      .261903    .3582277
 _Icompany_2 |   172.2025   49.40775     3.49   0.000     75.36509    269.0399
 _Icompany_3 |  -165.2751     48.564    -3.40   0.001    -260.4588   -70.09144
 _Icompany_4 |    42.4874   64.11886     0.66   0.508    -83.18325     168.158
 _Icompany_5 |  -44.32013   76.28904    -0.58   0.561    -193.8439    105.2036
 _Icompany_6 |   47.13539   68.53321     0.69   0.492    -87.18723     181.458
 _Icompany_7 |   3.743212   74.43241     0.05   0.960    -142.1416    149.6281
 _Icompany_8 |   12.75103   65.16085     0.20   0.845    -114.9619     140.464
 _Icompany_9 |  -16.92558   71.53431    -0.24   0.813    -157.1303    123.2791
_Icompany_10 |   63.72884   73.52344     0.87   0.386    -80.37446    207.8321
       _cons |  -70.29669    74.7058    -0.94   0.347    -216.7174    76.12399
------------------------------------------------------------------------------

. xtdata, fe

. xtpcse inv mv kst

Linear regression, correlated panels corrected standard errors (PCSEs)

Group variable:   company                       Number of obs      =       200
Time variable:    year                          Number of groups   =        10
Panels:           correlated (balanced)         Obs per group: min =        20
Autocorrelation:  no autocorrelation                           avg =        20
                                                               max =        20
Estimated covariances      =        55          R-squared          =    0.7668
Estimated autocorrelations =         0          Wald chi2(2)       =    299.86
Estimated coefficients     =         3          Prob > chi2        =    0.0000

------------------------------------------------------------------------------
             |           Panel-corrected
             |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      mvalue |   .1101238   .0175568     6.27   0.000     .0757132    .1445344
      kstock |   .3100653   .0245731    12.62   0.000      .261903    .3582277
       _cons |  -58.74393   18.00248    -3.26   0.001    -94.02813   -23.45973
------------------------------------------------------------------------------

.

Scott



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