Mark,
That's interesting! So I assume that when you try the regression I sent you on the updated Stata7, it gives the Stata8 results? I'm glad I know now why I am getting the differences (though it's also a bit disturbing since I derived all my key results on Stata7, and things are looking quite different now ...). If I could find out in what way Stata7 was updated to yield these different results -- i.e. how one would have to specify the regression differently in Stata8 to get the old-Stata7 results -- that would help. I'll see if I can figure out what the update consisted of.
Thanks,
Tewodaj
~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~.~
Tewodaj Mogues
Dept. of Agricultural and Applied Economics
University of Wisconsin - Madison
427 Lorch St. #317, Taylor Hall
Madison, WI 53706
----- Original Message -----
From: Mark Schaffer <[email protected]>
Date: Thursday, May 13, 2004 3:48 am
Subject: Re: st: Stata7 and Stata8 are doing two very different things.
> 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
> > > >
> > > > *
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> > > >
> > >
> > >
> > >
> > > 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]
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>
>
> 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
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>
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