In method (i) you need to adjust the degree of freedom. If you compare
the standard errors in the two estimates you will notice that they are
identical up to a scalar (approx = 1.46).
Richard
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Tim R. Sass
Sent: Wednesday, June 23, 2004 10:45 AM
To: [email protected]
Subject: st: SE's in Fixed Effects Model
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: [email protected]
Tallahassee, FL 32306-2180 Internet:
http://garnet.acns.fsu.edu/~tsass
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