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st: difference between xtivreg2 and xtreg coefficient estimates
From
Sriniketh Nagavarapu <[email protected]>
To
[email protected]
Subject
st: difference between xtivreg2 and xtreg coefficient estimates
Date
Sat, 5 May 2012 13:43:20 -0700
I recently ran into an odd issue with xtivreg2. I find that the
coefficient estimates sometimes differ between xtivreg2 and xtreg.
Here are the relevant results from the stata window. You'll notice
that xtreg and xtivreg2 seem to be recognizing a different number of
observations. While xtreg uses 2711 observations, xtivreg2 uses 2341
observations and drops 681 singletons. So the total number of
observations xtivreg2 "sees" is (2341+681=3021). Do you know why this
might be the case?
I should note that this is not always the case. I tried analogous
regressions on a different subset of my sample, and xtivreg2 and xtreg
produce identical results. Moreover, I tried using fixed effects at a
different level for the subset of data used below, and that also
produced identical results between xtivreg2 and xtreg.
Thanks very much for your help,
Sri
xtreg log_catch lpc oni_lpc if abre==0, fe i(coop_sp_qy_ft)
Fixed-effects (within) regression Number of obs = 2711
Group variable: coop_sp_qy~t
Number of groups = 1200
R-sq: within = 0.0053 Obs per group: min = 1
between = 0.0471 avg = 2.3
overall = 0.0373 max = 23
F(2,1509) = 4.03
corr(u_i, Xb) = -0.5044 Prob > F = 0.0179
------------------------------------------------------------------------------
log_catch | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lpc | .5617976 .2151326 2.61 0.009 .139807 .9837883
oni_lpc | .1053519 .0682257 1.54 0.123 -.0284753 .2391792
_cons | 1.694206 .7066401 2.40 0.017 .3081056 3.080307
-------------+----------------------------------------------------------------
sigma_u | 1.5294954
sigma_e | 1.0591231
rho | .67590006 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(1199, 1509) = 2.93 Prob > F = 0.0000
. xtivreg2 log_catch lpc oni_lpc if abre==0, fe i(coop_sp_qy_ft)
Warning - singleton groups detected. 681 observation(s) not used.
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 520 Obs per group: min = 2
avg = 4.5
max = 311
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Number of obs = 2341
F( 2, 1819) = 31.13
Prob > F = 0.0000
Total (centered) SS = 2447.553324 Centered R2 = 0.0331
Total (uncentered) SS = 2447.553324 Uncentered R2 = 0.0331
Residual SS = 2366.551216 Root MSE = 1.14
------------------------------------------------------------------------------
log_catch | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lpc | -.6256792 .0818381 -7.65 0.000 -.7860789 -.4652796
oni_lpc | -.0411999 .029926 -1.38 0.169 -.0998537 .017454
------------------------------------------------------------------------------
Included instruments: lpc oni_lpc
------------------------------------------------------------------------------
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