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st: difference between xtivreg2 and xtreg coefficient estimates


From   Sriniketh Nagavarapu <ssn@brown.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: difference between xtivreg2 and xtreg coefficient estimates
Date   Sat, 5 May 2012 13:43:20 -0700

I recently ran into an odd issue with xtivreg2. I find that the
coefficient estimates sometimes differ between xtivreg2 and xtreg.
Here are the relevant results from the stata window. You'll notice
that xtreg and xtivreg2 seem to be recognizing a different number of
observations. While xtreg uses 2711 observations, xtivreg2 uses 2341
observations and drops 681 singletons. So the total number of
observations xtivreg2 "sees" is (2341+681=3021). Do you know why this
might be the case?

I should note that this is not always the case. I tried analogous
regressions on a different subset of my sample, and xtivreg2 and xtreg
produce identical results. Moreover, I tried using fixed effects at a
different level for the subset of data used below, and that also
produced identical results between xtivreg2 and xtreg.

Thanks very much for your help,
Sri



 xtreg log_catch lpc oni_lpc if abre==0, fe i(coop_sp_qy_ft)

Fixed-effects (within) regression               Number of obs      =      2711
Group variable: coop_sp_qy~t
  Number of groups   =      1200

R-sq:  within  = 0.0053                         Obs per group: min =         1
       between = 0.0471                                        avg =       2.3
       overall = 0.0373                                        max =        23

                                                F(2,1509)          =      4.03
corr(u_i, Xb)  = -0.5044                        Prob > F           =    0.0179

------------------------------------------------------------------------------
   log_catch |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
         lpc |   .5617976   .2151326     2.61   0.009      .139807    .9837883
     oni_lpc |   .1053519   .0682257     1.54   0.123    -.0284753    .2391792
       _cons |   1.694206   .7066401     2.40   0.017     .3081056    3.080307
-------------+----------------------------------------------------------------
     sigma_u |  1.5294954
     sigma_e |  1.0591231
         rho |  .67590006   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0:     F(1199, 1509) =     2.93          Prob > F = 0.0000

. xtivreg2 log_catch lpc oni_lpc if abre==0, fe i(coop_sp_qy_ft)
Warning - singleton groups detected.  681 observation(s) not used.

FIXED EFFECTS ESTIMATION
------------------------
Number of groups =       520                    Obs per group: min =         2
                                                               avg =       4.5
                                                               max =       311

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only

                                                      Number of obs =     2341
                                                      F(  2,  1819) =    31.13
                                                      Prob > F      =   0.0000
Total (centered) SS     =  2447.553324                Centered R2   =   0.0331
Total (uncentered) SS   =  2447.553324                Uncentered R2 =   0.0331
Residual SS             =  2366.551216                Root MSE      =     1.14

------------------------------------------------------------------------------
   log_catch |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
         lpc |  -.6256792   .0818381    -7.65   0.000    -.7860789   -.4652796
     oni_lpc |  -.0411999    .029926    -1.38   0.169    -.0998537     .017454
------------------------------------------------------------------------------
Included instruments: lpc oni_lpc
------------------------------------------------------------------------------

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