Hi,

My supervisor and staticien are asking me to run my panel regression with two methods, xtreg ,mle and reg ,(cluster id). They say that both method should give me similar results however they do not. To which they replied there were some interactions of my variables. After checking everything and slicing the data in many ways for 2 weeks I'm spent.

Here are two regressions with the methods, I only use one variable as to show that it doesnt work as intended. Both variables have skewness and kurtosis in the accetable ranges. Can someone please explain me where I go wrong ? Or at least point me toward what else I should be checking that I forget to look at.

. tabstat qiIndResExp qrFedRD if tesregfullind!=. & year<2015& Legal>0,stat (N mean sd min max sk ku)

stats | qiIndR~p qrFedRD
---------+--------------------
N | 2568 2568
mean | 26.46953 106.6251
sd | 7.111316 31.72757
min | 0 0
max | 54.03841 246.6654
skewness | .3247191 .5548654
kurtosis | 4.42312 4.166172
------------------------------


. pwcorr qiIndResExp qrFedRD if tesregfullind!=. & year<2015& Legal>0

| qiIndR~p qrFedRD
-------------+------------------
qiIndResExp | 1.0000
qrFedRD | 0.7479 1.0000

. xtreg qiIndResExp qrFedRD if tesregfullind!=. & year<2015& Legal>0,mle

Fitting constant-only model:
Iteration 0: log likelihood = -6922.983
Iteration 1: log likelihood = -6912.0281
Iteration 2: log likelihood = -6911.5666
Iteration 3: log likelihood = -6911.5626

Fitting full model:
Iteration 0: log likelihood = -6621.1102
Iteration 1: log likelihood = -6578.6661
Iteration 2: log likelihood = -6577.4219
Iteration 3: log likelihood = -6577.4116
Iteration 4: log likelihood = -6577.4116

Random-effects ML regression Number of obs = 2,568
Group variable: id Number of groups = 240

Random effects u_i ~ Gaussian Obs per group:
min = 1
avg = 10.7
max = 18

LR chi2(1) = 668.30
Log likelihood = -6577.4116 Prob > chi2 = 0.0000

------------------------------------------------------------------------------
qiIndResExp | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
qrFedRD | .1265419 .0044836 28.22 0.000 .1177541 .1353296
_cons | 12.23881 .5198609 23.54 0.000 11.2199 13.25771
-------------+----------------------------------------------------------------
/sigma_u | 4.193681 .2150688 3.792647 4.637121
/sigma_e | 2.722282 .040055 2.644897 2.801932
rho | .7035409 .0225329 .6579608 .7461168
------------------------------------------------------------------------------
LR test of sigma_u=0: chibar2(01) = 2102.65 Prob >= chibar2 = 0.000



. reg qiIndResExp qrFedRD if tesregfullind!=. & year<2015& Legal>0,vce (cluster id)

Linear regression Number of obs = 2,568
F(1, 239) = 398.44
Prob > F = 0.0000
R-squared = 0.5593
Root MSE = 4.7216

(Std. Err. adjusted for 240 clusters in id)
------------------------------------------------------------------------------
| Robust
qiIndResExp | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
qrFedRD | .1676296 .0083979 19.96 0.000 .1510863 . 1841729
_cons | 8.596003 .877978 9.79 0.000 6.866439 10.32557
------------------------------------------------------------------------------