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:
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
427 Lorch St. #317, Taylor Hall
Madison, WI 53706
----- 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
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*
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