st: SE's in Fixed Effects Model

["Tim R. Sass" <tsass@coss.fsu.edu>]

I am estimating a fixed-effects panel model using two methods: (i) manually 
demeaning the data and running regress, (ii) running areg on the original 
data.  I am able to get identical estimated slope coefficients from both 
models.  However, the standard errors are very different.  The standard 
errors should be asymptotically equivalent, so given my large sample size 
(21,000+ observations) the reported standard errors ought to be quite 
close.  I tried applying the standard error correction noted by Wiggins and 
Gould in the Stata 6 FAQ "How can I estimate a fixed-effects regresion with 
instrumental variables?", but as one would expect (given my large sample 
size) it made very little difference.  Any ideas what may be going on 
here?  My output is given below.

Tim



. areg  nrtrgain nschools chgschl, absorb(student) ;

                                                       Number of obs =   21601
                                                       F(  2, 10062) =  219.77
                                                       Prob > F      =  0.0000
                                                       R-squared     =  0.3732
                                                       Adj R-squared = -0.3455
                                                       Root MSE      =  31.382

------------------------------------------------------------------------------
    nrtrgain |      Coef.         Std. Err.          t        P>|t|
-------------+----------------------------------------------------------------
   nschools |  -2.487567   1.967418      -1.26   0.206
     chgschl |  -11.67239   .5572808    -20.95   0.000
        _cons |   20.07552   2.067988       9.71   0.000


. reg   de_nrtrgain de_nschools de_chgschl;

      Number of obs =   21601
      F(  2, 21598) =  471.74
      Prob > F      =  0.0000
      R-squared     =  0.0419
      Adj R-squared =  0.0418

------------------------------------------------------------------------------
   de_nrtrgain |      Coef.        Std. Err.         t        P>|t|
-------------+----------------------------------------------------------------
 de_nschools |  -2.487567   1.342864     -1.85   0.064
   de_chgschl |  -11.67239   .3803728   -30.69   0.000
            _cons |   20.07552   1.411508     14.22   0.000
------------------------------------------------------------------------------

. display _se[de_chgschl]*sqrt(e(df_r)/(e(df_r)-3+1));
.38039039




Tim R. Sass
Professor                               Voice:   (850)644-7087
Department of Economics         Fax:      (850)644-4535
Florida State University                E-mail:   tsass@coss.fsu.edu
Tallahassee, FL  32306-2180     Internet: http://garnet.acns.fsu.edu/~tsass


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