EViews.com

Hi All,

My question may appear to be very trivial one, but I just wanted to figure out why Eviews adjusts the sample even in a simple OLS (this causes difference in intercept and slope coefficients).
Here is the result for eviews vs stata for simple OLS. The regressor is a dummy variable. There are 39 annual observations.

eviews
Dependent Variable: stock
Method: Least Squares
Date: 11/20/11 Time: 5:46
Sample (adjusted): 1 38
Included observations: 38 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C(1) 3.751698 0.463424 8.095601 0.0000
dummy 1.535652 0.560253 2.740998 0.0095

R-squared 0.172662 Mean dependent var 4.802407
Adjusted R-squared 0.149681 S.D. dependent var 1.740918
S.E. of regression 1.605349 Akaike info criterion 3.835755
Sum squared resid 92.77722 Schwarz criterion 3.921944
Log likelihood -70.87935 Durbin-Watson stat 0.684805

and stata


. regress stock, dummy

Source | SS df MS Number of obs = 39
-------------+------------------------------ F( 1, 37) = 6.46
Model | 16.77298 1 16.77298 Prob > F = 0.0153
Residual | 96.0338703 37 2.59551001 R-squared = 0.1487
-------------+------------------------------ Adj R-squared = 0.1257
Total | 112.80685 38 2.96860132 Root MSE = 1.6111

------------------------------------------------------------------------------
stock | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
dummy | 1.391166 .5472494 2.54 0.015 .2823337 2.499999
_cons | 3.896184 .4468273 8.72 0.000 2.990825 4.801542

Your help will be highly appreciated.

You probably have a different data. You might post your workfile including the equation you've estimated.

You probably have a different data. You might post your workfile including the equation you've estimated.

Thank you startz for the prompt response. I double checked the data for both. Here are the data and equation I wanted to estimate.
stock dummy
7.24 1
5.96 1
6.11 1
7.22 1
6.01 1
5.96 1
4.65 0
5.04 0
4.19 0
6.09 0
4.83 1
3.67 1
4.96 1
3.96 1
4.50 1
5.93 1
5.26 1
3.63 1
6.26 1
6.66 1
7.86 1
7.22 1
6.12 0
5.26 0
3.26 0
2.21 0
1.80 0
0.38 0
2.42 0
3.61 0
7.15 1
5.94 1
4.57 1
3.81 1
2.49 1
4.01 1
2.66 1
3.58 1
5.63 0

equation: stock=intercept + b*dummy

You specified your equation as: You should enter it as: By using c(1) you are telling EViews to use a one period lead on the variable C. Which means there are only 38 valid observations to use.

You specified your equation as:

Code: Select all

stock c(1) dummy

You should enter it as:

Code: Select all

stock c dummy

By using c(1) you are telling EViews to use a one period lead on the variable C. Which means there are only 38 valid observations to use.

Thank you so much for clearing out my confusion.

You specified your equation as:

Code: Select all

stock c(1) dummy

By using c(1) you are telling EViews to use a one period lead on the variable C. Which means there are only 38 valid observations to use.

This strikes me as a bug. C is not a series. For example, errors out.

C is both a coefficient vector, and a series.

When you specify: You are using C as a series (a series of ones).