Tewodaj,
-update query-
should tell you what you need to know.
Cheers,
Mark
Date sent: Thu, 13 May 2004 09:23:52 -0500
From: TEWODAJ MOGUES <[email protected]>
Subject: Re: st: Stata7 and Stata8 are doing two very different things.
To: [email protected]
Copies to: [email protected], [email protected]
Send reply to: [email protected]
> 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 427 Lorch St. #317, Taylor Hall Madison, WI 53706 Cell:
> > > ----- 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:
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> > > > > * 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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> > >
> >
> >
> > 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
> > http://www.som.hw.ac.uk/cert
> >
>
> *
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> * http://www.ats.ucla.edu/stat/stata/
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
http://www.som.hw.ac.uk/cert
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