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Re: st: xtregar in STATA vs. proc mixed in SAS
From
Steven Archambault <[email protected]>
To
[email protected]
Subject
Re: st: xtregar in STATA vs. proc mixed in SAS
Date
Thu, 18 Mar 2010 18:00:50 -0600
test...my emails to the board are not going through.
On Thu, Mar 18, 2010 at 2:37 PM, Stas Kolenikov <[email protected]> wrote:
> No, you shouldn't. Stata does not have REML. And I doubt SAS has fixed
> effects, as PROC MIXED is a biostat rather than an econometric
> procedure.
>
> On Thu, Mar 18, 2010 at 2:52 PM, Ma, Yu-Luen <[email protected]> wrote:
>> I estimated fixed effect models with AR(1) error strcture using both
>> STATA and SAS but received significantly different results. Below are
>> the programs that I used in each:
>>
>> STATA:
>> tsset id time
>> xtregar y x1 x2, fe
>>
>> SAS:
>> Proc mixed method=reml data=xxx;
>> class id time;
>> model y = id x1 x2 /s;
>> repeated/type=ar(1) subject=id ;
>>
>> Shouldn't I expect similar (if not identical) results from both
>> software? Am I missing something? Thanks.
>
>
>
> --
> Stas Kolenikov, also found at http://stas.kolenikov.name
> Small print: I use this email account for mailing lists only.
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