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Re: st: difference between xtivreg2 and xtreg coefficient estimates
From
Sriniketh Nagavarapu <[email protected]>
To
[email protected]
Subject
Re: st: difference between xtivreg2 and xtreg coefficient estimates
Date
Sat, 5 May 2012 15:09:32 -0700
Thanks for your help. I found the issue with the help of Mark
Schaffer. The variable that I'm
grouping on contains missing values for some observations. Apparently,
"xtreg" drops these observations while "xtivreg2" includes these
observations. Thanks again,
Sri
On Sat, May 5, 2012 at 1:43 PM, Sriniketh Nagavarapu <[email protected]> wrote:
> 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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