I am estimating a model with fixed effects and factor variables. I can estimate it using -areg-, -reg-, -xtreg- or -reghdfe-. With all the commands but -reghdfe- I get different results when I use the factor variables in the regression, compared to when I generate the variables beforehand and then I include them in the regression. These are differences in coefficients with the same estimation method. The differences in standard errors across methods should be expected.
Here's the code I am using:
Code:
gen i0 = 1.intent#0.defier#1.m0
gen i1 = l1.1.intent#l1.0.defier#1.m1
gen i2 = l2.1.intent#l2.0.defier#1.m2
gen i3 = l3.1.intent#l3.0.defier#1.m3
foreach method in areg reghdfe {
# delimit ;
`method' ${outcome}
1.intent#0.defier#1.m0
l1.1.intent#l1.0.defier#1.m1
l2.1.intent#l2.0.defier#1.m2
l3.1.intent#l3.0.defier#1.m3
c.running#0.defier#1.m0
l1.c.running#l1.0.defier#1.m1
l2.c.running#l2.0.defier#1.m2
l3.c.running#l3.0.defier#1.m3
0.defier#m0
0.l1.defier#m1
0.l2.defier#m2
0.l3.defier#m3
i.year
wave0 l1wave0 l2wave0 l3wave0
l(4/6).rdtreat
l(4/6).rdtreat2
if inrange(year,1996,2006)
& insample
, cluster(cty) absorb(cty);
# delimit cr
est store `method'1
# delimit ;
`method' ${outcome}
i0
i1
i2
i3
c.running#0.defier#1.m0
l1.c.running#l1.0.defier#1.m1
l2.c.running#l2.0.defier#1.m2
l3.c.running#l3.0.defier#1.m3
0.defier#m0
0.l1.defier#m1
0.l2.defier#m2
0.l3.defier#m3
i.year
wave0 l1wave0 l2wave0 l3wave0
l(4/6).rdtreat
l(4/6).rdtreat2
if inrange(year,1996,2006)
& insample
, cluster(cty) absorb(cty);
# delimit cr
est store `method'2
}
Code:
. est tab areg* reghdfe* xtreg*, b(%9.3f)
--------------------------------------------------------------------------------------
Variable | areg1 areg2 reghdfe1 reghdfe2 xtreg1 xtreg2
-------------+------------------------------------------------------------------------
intent#|
defier#m0 |
1 0 1 | 0.052 0.014 0.052
|
L.intent#|
L.defier#m1 |
1 0 1 | 0.164 0.210 0.164
|
L2.intent#|
L2.defier#m2 |
1 0 1 | -0.489 -0.566 -0.489
|
L3.intent#|
L3.defier#m3 |
1 0 1 | -0.445 -0.382 -0.445
|
defier#m0#|
c.running |
0 1 | -0.010 -0.010 -0.010 -0.010 -0.010 -0.010
|
L.defier#m1#|
cL.running |
0 1 | 0.005 0.006 0.006 0.006 0.005 0.006
|
L2. |
defier#|
m2#|
cL2.running |
0 1 | -0.008 -0.010 -0.010 -0.010 -0.008 -0.010
|
L3. |
defier#|
m3#|
cL3.running |
0 1 | 0.009 0.009 0.009 0.009 0.009 0.009
|
defier#m0 |
0 1 | 0.265 0.276 0.276 0.276 0.265 0.276
|
L.defier#m1 |
0 1 | -0.255 -0.304 -0.304 -0.304 -0.255 -0.304
|
L2.defier#m2 |
0 1 | 0.290 0.364 0.364 0.364 0.290 0.364
|
L3.defier#m3 |
0 1 | -0.178 -0.217 -0.217 -0.217 -0.178 -0.217
|
year |
1997 | -0.653 -0.657 -0.657 -0.657 -0.653 -0.657
1998 | -0.798 -0.801 -0.801 -0.801 -0.798 -0.801
1999 | -1.030 -1.031 -1.031 -1.031 -1.030 -1.031
2000 | -0.489 -0.491 -0.491 -0.491 -0.489 -0.491
2001 | 1.685 1.680 1.680 1.680 1.685 1.680
2002 | 2.961 2.957 2.957 2.957 2.961 2.957
2003 | 2.468 2.461 2.461 2.461 2.468 2.461
2004 | 1.608 1.602 1.602 1.602 1.608 1.602
2005 | 1.369 1.366 1.366 1.366 1.369 1.366
2006 | 0.954 0.947 0.947 0.947 0.954 0.947
|
wave0 | 0.928 0.917 0.917 0.917 0.928 0.917
l1wave0 | 0.898 0.908 0.908 0.908 0.898 0.908
l2wave0 | 0.572 0.556 0.556 0.556 0.572 0.556
l3wave0 | 0.605 0.606 0.606 0.606 0.605 0.606
|
rdtreat |
L4. | -0.828 -0.836 -0.836 -0.836 -0.828 -0.836
L5. | 0.063 0.054 0.054 0.054 0.063 0.054
L6. | -1.002 -0.999 -0.999 -0.999 -1.002 -0.999
|
rdtreat2 |
L4. | -0.200 -0.195 -0.195 -0.195 -0.200 -0.195
L5. | -0.126 -0.126 -0.126 -0.126 -0.126 -0.126
L6. | -0.364 -0.354 -0.354 -0.354 -0.364 -0.354
|
i0 | 0.014 0.014 0.014
i1 | 0.210 0.210 0.210
i2 | -0.566 -0.566 -0.566
i3 | -0.382 -0.382 -0.382
_cons | 5.597 5.601 5.597 5.601
--------------------------------------------------------------------------------------
0 Response to Inconsistent results with -areg-, -xtreg- and factor variables.
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