st: Re: Re: Re: Limdep and Stata

["Rodrigo A. Alfaro" <raalfaroa@gmail.com>]

You wrote:
"Limdep uses a 2sls estimation with the Cochrane-Orcutt transformation"

I overlooked... 2sls estimation?? it sounds that you are using instruments!!
You should use -xtivreg- or -xtivreg2-, but I don't understand your
sentence (in estimation terms)

I don't have Limdep manuals, then I don't know the procedure involved.

Rodrigo.

----- Original Message ----- 
From: "Kenneth G. Liu" <gao.liu@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Friday, June 29, 2007 5:33 PM
Subject: st: Re: Re: Limdep and Stata



> I thought I could also. But the default option of -xtregar, fe- just gave 
> me quite different estimations. Anyone knows the reason?
>
> Thanks
>
> Gao
> ----- Original Message ----- 
> From: "Rodrigo A. Alfaro" <raalfaroa@gmail.com>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: 2007?6?29? 5:27 PM
> Subject: st: Re: Limdep and Stata
>
>
>
> > I think that you can replicate LIMDEP results using -xtregar, fe-
> > Rodrigo.
> >
> > ----- Original Message ----- 
> > From: "Kenneth G. Liu" <gao.liu@gmail.com>
> > To: <statalist@hsphsun2.harvard.edu>
> > Sent: Friday, June 29, 2007 5:07 PM
> > Subject: st: Limdep and Stata
> >
> >
> >
> > > 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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