[Limdep Nlogit List] standard errors in random effects regression

[Andreas Drichoutis]

Can please someone explain the difference I'm getting from a random effects
regression in Limdep and Stata? Coefficient estimates are the same but
standard errors are completely different. I tend to get more statistical
significant variables in Limdep and tried this with several regressions.
Which ones should I report?

According to Limdep my treatment variable (TREAT_TR) is significant at the
10% level but is not significant according to Stata. In other regressions
I'm getting larger differences.

 

Regards,

Andreas Drichoutis

 

--> namelist ; x1=gender,age, period,treat_pr,treat_tr,one $

--> skip $

--> regress ; lhs=bet2lot5 ; rhs=x1 ; pds=10 $

 

+----------------------------------------------------+

| Ordinary    least squares regression               |

| Model was estimated Oct 15, 2009 at 05:47:51PM     |

| LHS=BET2LOT5 Mean                 =   1.532028     |

|              Standard deviation   =   1.210199     |

| WTS=none     Number of observs.   =        710     |

| Model size   Parameters           =          6     |

|              Degrees of freedom   =        704     |

| Residuals    Sum of squares       =   966.4366     |

|              Standard error of e  =   1.171657     |

| Fit          R-squared            =   .0692925     |

|              Adjusted R-squared   =   .0626823     |

| Model test   F[  5,   704] (prob) =  10.48 (.0000) |

| Autocorrel   Durbin-Watson Stat.  =   .4687073     |

|              Rho = cor[e,e(-1)]   =   .7656464     |

| Robust VC    Newey-West, Periods  =         10     |

+----------------------------------------------------+

+--------+--------------+----------------+--------+--------+----------+

|Variable| Coefficient  | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|

+--------+--------------+----------------+--------+--------+----------+

|GENDER  |     .35515          .22113828     1.606   .1083    .3943662|

|AGE     |    -.01294          .05868952     -.221   .8255   20.732394|

|PERIOD  |     .06909***       .02287902     3.020   .0025   5.5000000|

|TREAT_PR|     .01037          .20414538      .051   .9595    .4929577|

|TREAT_TR|     .34429*         .20105428     1.712   .0868    .5070423|

|Constant|    1.10060         1.23528145      .891   .3729            |

+--------+------------------------------------------------------------+

| Note: ***, **, * = Significance at 1%, 5%, 10% level.               |

+---------------------------------------------------------------------+

 

 

xtreg bet2lot5 gender age period treat_pr treat_tr, re

 

Random-effects GLS regression                   Number of obs      =
710

Group variable: id                              Number of groups   =
71

 

R-sq:  within  = 0.0876                         Obs per group: min =
10

       between = 0.0612                                        avg =
10.0

       overall = 0.0693                                        max =
10

 

Random effects u_i ~ Gaussian                   Wald chi2(5)       =
65.57

corr(u_i, X)       = 0 (assumed)                Prob > chi2        =
0.0000

 

----------------------------------------------------------------------------
--

    bet2lot5 |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]

-------------+--------------------------------------------------------------
--

      gender |   .3551551   .2502641     1.42   0.156    -.1353535
.8456638

         age |  -.0129431   .0767783    -0.17   0.866    -.1634259
.1375397

      period |   .0690943   .0088273     7.83   0.000      .051793
.0863956

    treat_pr |   .0103745   .2413856     0.04   0.966    -.4627327
.4834816

    treat_tr |   .3442994   .2429732     1.42   0.156    -.1319193
.820518

       _cons |   1.100601   1.635651     0.67   0.501    -2.105216
4.306418

-------------+--------------------------------------------------------------
--

     sigma_u |  .98865592

     sigma_e |  .67559506

         rho |  .68168039   (fraction of variance due to u_i)

----------------------------------------------------------------------------
--