Closed zdlspace0528 closed 2 years ago
Dear all,
When I use FixedEffectModels with Vcov.cluster, I get the different p values from the results of Stata.
julia> using DataFrames, RDatasets, FixedEffectModels julia> df = dataset("plm", "GrunFeld"); julia> ols = reg(df, @formula(Inv ~ Value + Capital), Vcov.cluster(:Firm)) Linear Model ====================================================================== Number of obs: 200 Degrees of freedom: 3 R2: 0.812 R2 Adjusted: 0.811 F-Stat: 51.5906 p-value: 0.000 ====================================================================== Inv | Estimate Std.Error t value Pr(>|t|) Lower 95% Upper 95% ---------------------------------------------------------------------- Value | 0.115562 0.0158943 7.27065 0.000 0.0842173 0.146907 Capital | 0.230678 0.0849671 2.71492 0.007 0.0631166 0.39824 (Intercept) | -42.7144 20.4252 -2.09126 0.038 -82.9945 -2.43425 ======================================================================
In Stata, the result is,
. webuse grunfeld,clear . reg invest mvalue kstock, cl(company) Linear regression Number of obs = 200 F(2, 9) = 51.59 Prob > F = 0.0000 R-squared = 0.8124 Root MSE = 94.408 (Std. err. adjusted for 10 clusters in company) ------------------------------------------------------------------------------ | Robust invest | Coefficient std. err. t P>|t| [95% conf. interval] -------------+---------------------------------------------------------------- mvalue | 0.1156 0.0159 7.27 0.000 0.0796 0.1515 kstock | 0.2307 0.0850 2.71 0.024 0.0385 0.4229 _cons | -42.7144 20.4252 -2.09 0.066 -88.9194 3.4906 ------------------------------------------------------------------------------
Why I get the different p values?
In Julia, the degrees of freedom is 3, but in Stata, the degrees of freedom is 2.
Thanks. Solved with https://github.com/FixedEffects/FixedEffectModels.jl/pull/202
@matthieugomez How to update the latest version 1.6.7?
Dear all,
When I use FixedEffectModels with Vcov.cluster, I get the different p values from the results of Stata.
In Stata, the result is,
Why I get the different p values?
In Julia, the degrees of freedom is 3, but in Stata, the degrees of freedom is 2.