[Limdep Nlogit List] Limdep vs Stata 9

[William Greene]

You should create the lagged values of LNAF and LNTA 
before the REGRESS command, then adjust the sample to
exclude the first observation in each group. LIMDEP
is including a set of period dummies in the regression.
I'm not sure Stata does that - I do not see it in the
Stata command. LIMDEP is not computing "robust" standard
errors. Apparently, Stata is.
/B. Greene

----- Original Message -----
From: "Marc Goergen" <goergenm at Cardiff.ac.uk>
To: limdep at limdep.itls.usyd.edu.au
Sent: Thursday, March 26, 2009 8:55:53 AM GMT -05:00 US/Canada Eastern
Subject: [Limdep Nlogit List] Limdep vs Stata 9

Dear all

I have been running a pooled OLS regression on the same dataset in both Limdep and Stata 9. However, the results I obtained are significantly different:

1. Limdep seems to include roughly 10% more observations than Stata does, despite using the skip command in Limdep.

2. Some of the variables that were highly significant in Limdep are no longer significant in Stata. This is especially true for a dummy variable which was significant at the 0.1% level in Limdep, but at best has a p-value of 0.39 in Stata.

3. While for the case of Limdep the results for OLS without group dummy variables are significantly different from those with group dummy variables, in Stata the differences are much less pronounced.

The command I used in Limdep is:

REGRESS; LHS= LNAF; RHS= LNAF[-1],LNTA[-1], ...; STR=CODE; PERIOD=YEAR; PANEL$

The command I used in Stata is:

regress lnaf l.lnaf l.lnta ... , robust cluster(code)

Dropping the "robust" and "cluster" options in Stata does not bring the results more in line with those obtained from Limdep.

Best wishes,

Marc


Prof. Marc Goergen
Cardiff Business School
Cardiff University
Colum Drive
Cardiff CF10 3EU

Tel:   029 2087 6450

http://www.cf.ac.uk/carbs/faculty/goergenm/index.html

My working papers are available at:
http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=29035

_______________________________________________
Limdep site list
Limdep at limdep.itls.usyd.edu.au
http://limdep.itls.usyd.edu.au