st: Limdep and Stata

["Kenneth G. Liu" <gao.liu@gmail.com>]

Hi,

I tried to analyze a panel dataset containing observations with a maximum of 
21 years in 12 countries (unbalanced panel). Fixed effect is used and the 
disturbance term is modelled as an AR1 process.

I used both Stata and Limdep to estimate the model ("xtregar,fe" for Stata, 
and "; fe; AR1;" for Limdep). However, the results (pho, coefficients  and t 
values) turned out to significantly different. The estimated pho in  Limdep 
is much smaller.

I know that Limdep uses a 2sls estimation with the Cochrane-Orcutt 
transformation, but don't know how stata estimates the model. Why did they 
lead to significantly different results? Which one is more appropriate?

Thanks


Gao 
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