Monday, March 13, 2006

Re: st: xtreg vs reg w/ dummies

Scott Hankins wrote: ******************************************************************************** I have estimated what I belive to be the same model from an econometric point of view but Stata doesn't give me the same results.

The 1st uses "xtreg" to estimate a fixed effects model (along with "xi" for the year effects). The 2nd uses "regress" and "xi" to generate dummy variables for the individual fixed effects as well as year effects.

The only difference between the two routines is the coefficient on pitt is "dropped" when I use xtreg. I thought this was a multi-colinearity problem until I ran the regression with "regress" and dummies. It may still be a multi-colinearity problem as I do not believe the estimated coefficient is correct.

Why does one command estimate this coefficient when the other won't? I assume there is something subtle (or not so subtle) going on behind the scenes with Stata.

thanks

scott

************** 1st model ***************** xi: xtreg csec i.year pitt breech previous medicaid if att_issue>=1994 ,fe i(new_attid) i.year _Iyear_1994-2004 (naturally coded; _Iyear_1994 omitted)

Fixed-effects (within) regression Number of obs = 1002 Group variable (i): new_attid Number of groups = 353

R-sq: within = 0.3679 Obs per group: min = 1 between = 0.0303 avg = 2.8 overall = 0.1626 max = 10

F(14,635) = 26.40 corr(u_i, Xb) = -0.0949 Prob > F = 0.0000

------------------------------------------------------------------------------ csec | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- _Iyear_1995 | -.0457742 .0561129 -0.82 0.415 -.1559636 .0644151 _Iyear_1996 | -.0237076 .0557849 -0.42 0.671 -.1332528 .0858377 _Iyear_1997 | -.0281403 .0561732 -0.50 0.617 -.138448 .0821675 _Iyear_1998 | -.0322946 .0566514 -0.57 0.569 -.1435413 .0789521 _Iyear_1999 | -.0382227 .0567723 -0.67 0.501 -.1497069 .0732615 _Iyear_2000 | -.0388285 .0567053 -0.68 0.494 -.1501811 .0725242 _Iyear_2001 | -.0312434 .0567966 -0.55 0.582 -.1427752 .0802885 _Iyear_2002 | .027376 .0568078 0.48 0.630 -.0841779 .1389299 _Iyear_2003 | -.0026329 .0570527 -0.05 0.963 -.1146676 .1094018 _Iyear_2004 | .0051664 .0572499 0.09 0.928 -.1072556 .1175883 pitt | (dropped) breech | .7840754 .0496142 15.80 0.000 .6866476 .8815032 previous_c~c | .3019584 .0425659 7.09 0.000 .2183714 .3855454 medicaid | -.03466 .0199792 -1.73 0.083 -.0738933 .0045733 _cons | .1505913 .0561206 2.68 0.007 .040387 .2607956 -------------+---------------------------------------------------------------- sigma_u | .23549195 sigma_e | .09962159 rho | .84820555 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(352, 635) = 7.22 Prob > F = 0.0000 ...

******************************************************************************

This case is curious because pitt is dropped in the -xtreg- regression, but the F-statistic numerator degrees of freedom read as if it is not dropped: F(14,635) = 26.40

With the dropped variable the numerator degrees of freedom should be 13, not 14. Why would 14 be listed in this circumstance?

Dave Harless * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/


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