Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: Problem with cross sectional regression, different results from xtreg, xi
From
huyen le <[email protected]>
To
[email protected]
Subject
st: Problem with cross sectional regression, different results from xtreg, xi
Date
Tue, 19 Jul 2011 09:56:14 +0100 (BST)
Dear Stata Friends,
I'm facing a serious problem with the cross sectional regression. Even I've
searched around but couldn't solve it yet. Therefore, I'd be deeply grateful
for your help.
I'm doing a cross-sectional regression for about 2000 funds to examize the
relationship between funds returns and age, expense, size. Each fund includes
data about returns, age, etc. for 10 years, from 2000 to 2010.
Since I want to do a yearly cross-sectional regression, I regress 2000 funds
controlled for the time variable.
Well, I do it according to the following 3 ways. Sadly, I get 3 different
results. And I'm not sure, which one is correct.
1st way: seperate regression
. regress returns age expense size if year==2000, robust
. regress returns age expense size if year==2001, robust
...
. regress returns age expense size if year==2010, robust
Hence, I get 10 coefficients for each independent variable from 2000 to 2010.
Then I calculate the average of them, and check the statistical significance by
ttest. E.g.
coeff_age = (coeff_age2000+coeff_age2001+ ... + coeff_age2010) / 10
ttest coeff_age==0 /*check for statistical significance*/
2nd way: Using dummy variables
. xi: regress returns age expense size i.year, robust
3rd way: Using xtreg
. xtreg: regress returns age expense size, fe i(year) robust
If I don't use the robust option, the 2nd way and 3rd way deliver the same
result in p_values. But because of heteroskedasticity I have to use robust
regression and get totally different p_values between the two ways.
Could you please tell me, which way is the correct one and how I can solve this
problem.
Thank you very much!
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/