Tewodaj,
Date sent: Wed, 12 May 2004 23:05:15 -0500
From: TEWODAJ MOGUES <[email protected]>
Subject: Re: st: Stata7 and Stata8 are doing two very different things.
To: Mark Schaffer <[email protected]>
Copies to: [email protected]
Send reply to: [email protected]
Priority: normal
> Hi Mark,
>
> Yes, let's use abdata as an example! Run the following regression,
> once using Stata7, and once using Stata8, and you'll see that the
> results differ:
I tried your example here at work, where I have Stata 8 and a not-
fully-updated Stata 7, and I got your results, i.e., they disagree.
At home I have a fully-updated Stata 7, and when I tried the
experiment last night with a slightly different specification, they
agreed.
I can check again when I go home with exactly your specification, but
maybe you want see if the version of Stata 7 you are using is the
latest update that was released?
Cheers,
Mark
>
> xtabond n w L.k , lags(1) pre(ys , lag(0,1)) twostep noconstant
>
> Running it in Stata7, you get the output:
> ======================================================================
> ============
>
> Arellano-Bond dynamic panel data Number of obs =
> 751 Group variable (i): id Number of
> groups = 140
>
> Wald chi2(.) = .
>
> Time variable (t): year min number of obs =
> 5
> max number of obs = 7 mean
> number of obs = 5.364286
>
> Two-step results
> ----------------------------------------------------------------------
> -------- n | Coef. Std. Err. z P>|z|
> [95% Conf. Interval]
> -------------+--------------------------------------------------------
> -------- n |
> LD | .3966709 .0447336 8.87 0.000 .3089946
> .4843471
> ys |
> D1 | .8290601 .0596861 13.89 0.000 .7120775
> .9460427
> w |
> D1 | -.527372 .0399636 -13.20 0.000 -.6056992
> -.4490449
> k |
> LD | .1368371 .0324049 4.22 0.000 .0733248
> .2003495
> ----------------------------------------------------------------------
> -------- Warning: Arellano and Bond recommend using one-step results
> for
> inference on coefficients
>
> Sargan test of over-identifying restrictions:
> chi2(33) = 47.09 Prob > chi2 = 0.0531
>
> Arellano-Bond test that average autocovariance in residuals of order 1
> is 0:
> H0: no autocorrelation z = -2.17 Pr > z = 0.0301
> Arellano-Bond test that average autocovariance in residuals of order 2
> is 0:
> H0: no autocorrelation z = -0.58 Pr > z = 0.5602
>
> ======================================================================
>
>
>
>
> But running the same command in Stata8 you get a different output:
>
>
> =====================================================================
> Arellano-Bond dynamic panel-data estimation Number of obs =
> 751 Group variable (i): id Number of
> groups = 140
>
> Wald chi2(.) = .
>
> Time variable (t): year Obs per group: min =
> 5
> avg = 5.364286
> max = 7
>
> Two-step results
> ----------------------------------------------------------------------
> -------- D.n | Coef. Std. Err. z P>|z|
> [95% Conf. Interval]
> -------------+--------------------------------------------------------
> -------- n |
> LD | .36652 .0428952 8.54 0.000 .2824469
> .4505931
> ys |
> D1 | .8148182 .0547207 14.89 0.000 .7075676
> .9220689
> w |
> D1 | -.5323957 .0380125 -14.01 0.000 -.6068989
> -.4578926
> k |
> LD | .1355049 .0309182 4.38 0.000 .0749063
> .1961034
> ----------------------------------------------------------------------
> -------- Warning: Arellano and Bond recommend using one-step results
> for
> inference on coefficients
>
> Sargan test of over-identifying restrictions:
> chi2(40) = 51.84 Prob > chi2 = 0.0994
>
> Arellano-Bond test that average autocovariance in residuals of order 1
> is 0:
> H0: no autocorrelation z = -1.98 Pr > z = 0.0480
> Arellano-Bond test that average autocovariance in residuals of order 2
> is 0:
> H0: no autocorrelation z = -0.50 Pr > z = 0.6173
>
> ====================================================================
>
>
>
>
>
> Does that happen for you too? If yes, I wonder whether similar
> problems exist for other regression types... Tewodaj
> ~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~ Tewodaj Mogues Dept. of
> Agricultural and Applied Economics University of Wisconsin - Madison
>
> ----- Original Message -----
> From: Mark Schaffer <[email protected]>
> Date: Wednesday, May 12, 2004 6:39 pm
> Subject: Re: st: Stata7 and Stata8 are doing two very different
> things.
>
> > Tewodaj,
> >
> > Quoting TEWODAJ MOGUES <[email protected]>:
> >
> > > Hi Stata list users,
> > >
> > > If any of you have access to both Stata7 and Stata8, I would be
> > > curious to know if you have any insight why these produce
> > > different results for the same commands. I haven't tried out a
> > > load of different commands to see if there is always discrepancy,
> > > but given my interest in dynamic panel data modelling, I tried for
> > > example this and I get wildly different results:
> > >
> > > xtabond y x1 x2 L.x3 , lags(1) pre(x4 x5 , lag(0,1)) twostep
> > > noconstant
> > >
> > > Please try it out on your own data, using any variables for the y
> > > and the x's, and see the different output.
> >
> > I just tried with a nonsense regression using the abdata dataset,
> > and got the same results in Stata 7 and Stata 8.
> >
> > Have you tried checking whether xtabond2 agrees with xtabond?
> >
> > --Mark
> >
> > > You don't have to know
> > > much about xtabond to check whether the results are different
> > > (since they should not be). After knowing what's going on here,
> > > the obvious next step is to find out which of the two STata
> > > versions is "doing the right thing".
> > >
> > > Thanks,
> > > Tewodaj
> > >
> > > ~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~
> > > Tewodaj Mogues
> > > Dept. of Agricultural and Applied Economics
> > > University of Wisconsin - Madison
> > > 427 Lorch St. #317, Taylor Hall
> > > Madison, WI 53706
> > >
> > > *
> > > * 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/
> > >
> >
> >
> >
> > Prof. Mark Schaffer
> > Director, CERT
> > Department of Economics
> > School of Management & Languages
> > Heriot-Watt University, Edinburgh EH14 4AS
> > tel +44-131-451-3494 / fax +44-131-451-3008
> > email: [email protected]
> > web: http://www.sml.hw.ac.uk/ecomes
> > ________________________________________________________________
> >
> > DISCLAIMER:
> >
> > This e-mail and any files transmitted with it are confidential
> > and intended solely for the use of the individual or entity to
> > whom it is addressed. If you are not the intended recipient
> > you are prohibited from using any of the information contained
> > in this e-mail. In such a case, please destroy all copies in
> > your possession and notify the sender by reply e-mail. Heriot
> > Watt University does not accept liability or responsibility
> > for changes made to this e-mail after it was sent, or for
> > viruses transmitted through this e-mail. Opinions, comments,
> > conclusions and other information in this e-mail that do not
> > relate to the official business of Heriot Watt University are
> > not endorsed by it.
> > ________________________________________________________________
> >
>
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
* 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/
