st: Additional covariate kills effect in -reg-, but not in -cnreg-; Which should I trust?

[Stata Chris <statachris@gmail.com>]

Dear members of the Statalist,

I'm regressing unemployment durations on some hypothesized determinants thereof.

To get more statistical power, I want to start with least-squares
regression rather than a Cox model, but I thought that I should at
least deal with the fact that many durations are right-censored in
that the spell has not yet ended by the time my panel ends. So I
decided to use -cnreg-.

I find that whereas when I use -reg- adding year fixed effects "kills"
my main effect of interest, the same is not true when I use instead
use -cnreg-.
Since I do not fully understand what -cnreg- does differently from
-reg-, I wonder which of the two results I should trust more?

Thanks a lot,
Chris
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