Re: st: Problem with standard errors using eststo

[Austin Nichols <austinnichols@gmail.com>]

Sutirtha Bagchi <sutirthabagchi@gmail.com>:
I do not see that you have addressed the advice in
http://www.stata.com/statalist/archive/2012-01/msg00087.html

Can you reproduce your result on a publicly available dataset such as

webuse grunfeld, clear
xtreg mvalue kstock, fe cluster(company)
eststo e1
eststo:xtreg mvalue kstock, fe cluster(company)
esttab *

and can you prefix each command with version 11: and still get the same output?


On Wed, Feb 6, 2013 at 9:33 AM, Sutirtha Bagchi
<sutirthabagchi@gmail.com> wrote:
> I am having a problem with standard errors using eststo.
>
> My problem is that if I estimate a regression without using eststo and
> then estimate exactly the same regression with eststo, my standard
> errors change. This is a problem which had been raised about a year
> ago in this post:
> http://www.stata.com/statalist/archive/2012-01/msg00085.html and
> although the final verdict on this from Nick Cox was that "-eststo- is
> not
> in any sense changing standard errors and that your main problem lies
> elsewhere", I am not so sure that the advice holds in my case. In any
> event, I am attaching the two lines of code that I run and the output
> that I get from those. Please note how the standard errors (and the
> associated t-stats) change when I use eststo in the second line of
> code.
>
> Line of code #1: xi: xtreg fundratio compttve7, fe cluster(county)
>
> Line of code #2: eststo: xi: xtreg fundratio compttve7, fe cluster(county)
>
> Output from line of code #1:
> Fixed-effects (within) regression               Number of obs        =      3385
> Group variable: municipali~m                    Number of groups   =      1262
>
> R-sq:  within  = 0.0266                         Obs per group: min =         1
>           between = 0.0000
> avg =       2.7
>           overall = 0.0042
>    max =         3
>
>                                                          F(1,64)
>       =     12.52
> corr(u_i, Xb)  = -0.1392                        Prob > F           =    0.0008
>
>                                 (Std. Err. adjusted for 65 clusters in county)
> ------------------------------------------------------------------------------
>                 |               Robust
>    fundratio |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> compttve7 |  -336.4875   95.10119    -3.54   0.001    -526.4739    -146.501
>       _cons |   115.1093   10.24336    11.24   0.000     94.64585    135.5728
> -------------+----------------------------------------------------------------
>   sigma_u |  116.71559
>   sigma_e |  91.487051
>           rho |  .61941958   (fraction of variance due to u_i)
> ------------------------------------------------------------------------------
>
> Output from line of code #2:
>
> Fixed-effects (within) regression                Number of obs       =      3385
> Group variable: municipali~m                    Number of groups   =      1262
>
> R-sq:  within  = 0.0266                         Obs per group: min =         1
>           between = 0.0000
> avg =       2.7
>           overall = 0.0042
>   max =         3
>
>                                                          F(1,64)
>      =      7.85
> corr(u_i, Xb)  = -0.1392                        Prob > F           =    0.0067
>
>                                 (Std. Err. adjusted for 65 clusters in county)
> ------------------------------------------------------------------------------
>                |               Robust
>   fundratio |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> compttve7 |  -336.4875   120.0782    -2.80   0.007    -576.3713   -96.60364
>       _cons |   115.1093   12.93364     8.90   0.000      89.2714    140.9472
> -------------+----------------------------------------------------------------
>      sigma_u |  116.71559
>      sigma_e |  91.487051
>              rho |  .61941958   (fraction of variance due to u_i)
> ------------------------------------------------------------------------------
> (est146 stored)
>
> I should also mention that this problem comes up only when I am using
> the cluster option. That is, when I run:
> xi: xtreg fundratio compttve7, fe and eststo: xi: xtreg fundratio
> compttve7, fe, I get exactly the same results (i.e. same standard
> errors and same t-stats). Also, I have updated all my packages using
> adoupdate and given the status message: "(no packages require
> updating)"
>
> I look forward to hearing the listserv's solutions to the problem.
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