Dear all,
We know "reg i.id i.year,vce(cl id)" is the same as "xtreg i.year,fe r",but why are the results of the two codes are different in standard error and t statistics.Here is the example.
I find that the standard error and t statistic of kstock are different in reg i.id and xtreg,fe command.I don't know why.
Many thanks in advance.
Raymond
We know "reg i.id i.year,vce(cl id)" is the same as "xtreg i.year,fe r",but why are the results of the two codes are different in standard error and t statistics.Here is the example.
Code:
. reg invest mvalue kstock i.company i.year,vce(cl company)
Linear regression Number of obs = 200
F(8, 9) = .
Prob > F = .
R-squared = 0.9517
Root MSE = 51.725
(Std. Err. adjusted for 10 clusters in company)
------------------------------------------------------------------------------
| Robust
invest | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mvalue | 0.118 0.011 10.60 0.000 0.093 0.143
kstock | 0.358 0.049 7.29 0.000 0.247 0.469
|
company |
2 | 207.054 39.027 5.31 0.000 118.769 295.339
3 | -135.231 35.132 -3.85 0.004 -214.704 -55.758
4 | 95.354 59.423 1.60 0.143 -39.070 229.778
5 | -5.439 50.629 -0.11 0.917 -119.969 109.092
6 | 102.889 62.961 1.63 0.137 -39.539 245.316
7 | 51.467 57.614 0.89 0.395 -78.864 181.798
8 | 67.490 61.119 1.10 0.298 -70.770 205.751
9 | 30.218 56.268 0.54 0.604 -97.070 157.505
10 | 126.837 70.615 1.80 0.106 -32.905 286.579
|
year |
1936 | -19.197 21.243 -0.90 0.390 -67.251 28.857
1937 | -40.690 34.158 -1.19 0.264 -117.961 36.581
1938 | -39.226 16.150 -2.43 0.038 -75.760 -2.692
1939 | -69.470 27.708 -2.51 0.033 -132.151 -6.790
1940 | -44.235 17.829 -2.48 0.035 -84.567 -3.903
1941 | -18.804 18.317 -1.03 0.331 -60.239 22.630
1942 | -21.140 14.537 -1.45 0.180 -54.025 11.745
1943 | -42.978 12.874 -3.34 0.009 -72.100 -13.855
1944 | -43.099 11.285 -3.82 0.004 -68.627 -17.571
1945 | -55.683 15.601 -3.57 0.006 -90.976 -20.390
1946 | -31.169 21.467 -1.45 0.180 -79.730 17.392
1947 | -39.392 27.132 -1.45 0.180 -100.769 21.984
1948 | -43.717 39.900 -1.10 0.302 -133.978 46.544
1949 | -73.495 39.260 -1.87 0.094 -162.307 15.317
1950 | -75.896 37.766 -2.01 0.075 -161.328 9.536
1951 | -62.481 50.717 -1.23 0.249 -177.211 52.249
1952 | -64.632 52.917 -1.22 0.253 -184.339 55.075
1953 | -67.718 44.894 -1.51 0.166 -169.276 33.840
1954 | -93.526 32.560 -2.87 0.018 -167.182 -19.870
|
_cons | -86.900 62.010 -1.40 0.195 -227.178 53.377
------------------------------------------------------------------------------
. xtreg invest mvalue kstock i.year,fe r
Fixed-effects (within) regression Number of obs = 200
Group variable: company Number of groups = 10
R-sq: Obs per group:
within = 0.7985 min = 20
between = 0.8143 avg = 20.0
overall = 0.8068 max = 20
F(9,9) = .
corr(u_i, Xb) = -0.3250 Prob > F = .
(Std. Err. adjusted for 10 clusters in company)
------------------------------------------------------------------------------
| Robust
invest | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
mvalue | 0.118 0.011 10.88 0.000 0.093 0.142
kstock | 0.358 0.048 7.48 0.000 0.250 0.466
|
year |
1936 | -19.197 20.699 -0.93 0.378 -66.021 27.626
1937 | -40.690 33.283 -1.22 0.253 -115.982 34.602
1938 | -39.226 15.736 -2.49 0.034 -74.825 -3.628
1939 | -69.470 26.999 -2.57 0.030 -130.546 -8.395
1940 | -44.235 17.372 -2.55 0.031 -83.534 -4.936
1941 | -18.804 17.847 -1.05 0.320 -59.178 21.569
1942 | -21.140 14.165 -1.49 0.170 -53.183 10.903
1943 | -42.978 12.544 -3.43 0.008 -71.354 -14.601
1944 | -43.099 10.996 -3.92 0.004 -67.973 -18.224
1945 | -55.683 15.202 -3.66 0.005 -90.072 -21.294
1946 | -31.169 20.917 -1.49 0.170 -78.487 16.148
1947 | -39.392 26.437 -1.49 0.170 -99.197 20.413
1948 | -43.717 38.879 -1.12 0.290 -131.666 44.233
1949 | -73.495 38.254 -1.92 0.087 -160.033 13.043
1950 | -75.896 36.798 -2.06 0.069 -159.140 7.348
1951 | -62.481 49.418 -1.26 0.238 -174.272 49.311
1952 | -64.632 51.562 -1.25 0.242 -181.274 52.009
1953 | -67.718 43.745 -1.55 0.156 -166.675 31.239
1954 | -93.526 31.726 -2.95 0.016 -165.296 -21.756
|
_cons | -32.836 19.783 -1.66 0.131 -77.588 11.915
-------------+----------------------------------------------------------------
sigma_u | 91.798268
sigma_e | 51.724523
rho | .75902159 (fraction of variance due to u_i)
------------------------------------------------------------------------------
Many thanks in advance.
Raymond
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