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From | "Seed, Paul" <paul.seed@kcl.ac.uk> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | RE: AW: st: WG: XML TAB - inconsistent p-value output |
Date | Mon, 17 Jun 2013 09:40:11 +0000 |
Dear Statalist, To add to the confusion with -xtscc- and -xml_tab- that Ingo Kleindienst & Sergiy Radyakin have already commented on, I followed Inigo's instructions and go a completely different set of results from -xtscc-. This suggests the problem is with -xtscc-, not -xml_tab-. . version version 11.2 . which xml_tab c:\ado\stbplus\x\xml_tab.ado *! version 3.50 24Jun2008 M. Lokshin, Z. Sajaia . which xtscc c:\ado\stbplus\x\xtscc.ado *! xtscc, version 1.1.4, Daniel Hoechle, 27feb2007 . xtscc return patents patentsg stckpr merger sic sales Regression with Driscoll-Kraay standard errors Number of obs = 2252 Method: Pooled OLS Number of groups = 226 Group variable (i): cusip F( 6, 225) = 239.83 maximum lag: 2 Prob > F = 0.0000 R-squared = 0.0983 Root MSE = 5.2641 ------------------------------------------------------------------------------ | Drisc/Kraay return | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- patents | -.0012341 .0048402 -0.25 0.799 -.010772 .0083037 patentsg | -.0029532 .0038567 -0.77 0.445 -.0105531 .0046466 stckpr | .0745453 .0123332 6.04 0.000 .050242 .0988487 merger | -1.187542 .5551972 -2.14 0.034 -2.281593 -.0934909 sic | -4.54e-06 .000188 -0.02 0.981 -.0003751 .000366 sales | -.0000461 .0000351 -1.31 0.190 -.0001152 .0000231 _cons | 6.515627 .5316984 12.25 0.000 5.467881 7.563372 ------------------------------------------------------------------------------ . eret li scalars: e(N) = 2252 e(N_g) = 226 e(df_m) = 6 e(df_r) = 225 e(F) = 239.8315327428236 e(r2) = .0982803084873544 e(rmse) = 5.264078304739547 e(lag) = 2 macros: e(cmd) : "xtscc" e(predict) : "xtscc_p" e(method) : "Pooled OLS" e(depvar) : "return" e(vcetype) : "Drisc/Kraay" e(title) : "Regression with Driscoll-Kraay standard errors" e(groupvar) : "cusip" e(properties) : "b V" matrices: e(b) : 1 x 7 e(V) : 7 x 7 e(t) : 1 x 7 e(se_beta) : 1 x 7 functions: e(sample) *** End of Stata output *** *************************** For comparison, Inigo reported: The p-values for the xtscc model in the Stata results monitor are: Patents 0.815 Patensg 0.487 Stckpr 0.000 Merger 0.073 Sic 0.982 Sales 0.245 The p-values for the xtscc model in the Excel-file created using xml_tab are: Patents 0.809 Patensg 0.468 Stckpr 0.000 Merger 0.043 Sic 0.982 Sales 0.213 ******************************* Best wishes, Paul T Seed * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/