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I'd like to perform a fixed effects panel regression with two IVs (x1 and x2) and one DV (y), using robust standard errors. In Python I used the following command:

result = PanelOLS(data.y, sm2.add_constant(data[['x1', 'x2']]), entity_effects=True).fit(cov_type='robust')        
result

resulting in:

                          PanelOLS Estimation Summary                           
================================================================================
Dep. Variable:                      y   R-squared:                        0.0008
Estimator:                   PanelOLS   R-squared (Between):             -0.0212
No. Observations:               34338   R-squared (Within):               0.0008
Date:                Tue, May 05 2020   R-squared (Overall):           3.076e-05
Time:                        11:29:40   Log-likelihood                -4.647e+05
Cov. Estimator:                Robust                                           
                                        F-statistic:                      13.569
Entities:                        1304   P-value                           0.0000
Avg Obs:                       26.333   Distribution:                 F(2,33805)
Min Obs:                       0.0000                                           
Max Obs:                       75.000   F-statistic (robust):             71.477
                                        P-value                           0.0000
Time periods:                      88   Distribution:                 F(2,33805)
Avg Obs:                       390.20                                           
Min Obs:                       0.0000                                           
Max Obs:                       499.00                                           

                             Parameter Estimates                              
==============================================================================
            Parameter  Std. Err.     T-stat    P-value    Lower CI    Upper CI
------------------------------------------------------------------------------
const       5.472e+05     6478.7     84.469     0.0000   5.346e+05   5.599e+05
x1            -758.82     70.912    -10.701     0.0000     -897.81     -619.83
x2            -322.77     60.629    -5.3238     0.0000     -441.61     -203.94
==============================================================================

F-test for Poolability: 1337.3
P-value: 0.0000
Distribution: F(530,33805)

Included effects: Entity

Because the results seamed a bit off I tried to replicate them with Stata, using:

xtreg y x1 x2, fe vce(robust)

resulting in:

Fixed-effects (within) regression               Number of obs      =     34338
Group variable: ID                              Number of groups   =       531

R-sq:  within  = 0.0008                         Obs per group: min =         1
       between = 0.0010                                        avg =      64.7
       overall = 0.0004                                        max =        75

                                                F(2,530)           =      7.99
corr(u_i, Xb)  = -0.0205                        Prob > F           =    0.0004

                                   (Std. Err. adjusted for 531 clusters in ID)
------------------------------------------------------------------------------
             |               Robust
           y |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
          x1 |  -758.8212   202.0153    -3.76   0.000     -1155.67   -361.9723
          x2 |  -322.7749   219.6023    -1.47   0.142    -754.1727    108.6229
       _cons |   547249.1    22976.5    23.82   0.000     502112.9    592385.3
-------------+----------------------------------------------------------------
     sigma_u |  1266542.2
     sigma_e |  183793.32
         rho |  .97937616   (fraction of variance due to u_i)
------------------------------------------------------------------------------

The results are different. Especially the difference in p-value for x2, the average and min observations seem to be off. I do not understand what I am doing wrong in the Python version. Is the command I’m using correct? Have I missed a fundamental difference within the two models?


EDIT: as @Jesper for President pointed out there are some differences in the way Stata and Python interpret the data. Here is what I found out so far: My time variable is dates. As some dates are missing, Python seems to fill up the missing ones (Stata Obs per group max: 75 vs. Python Time Periods: 88). Further, Stata's vce(robust) does not seem to do the same like Pythons cov_type='robust'. By reading the manuals, I understand that both are including White-Sandwich estimator of variance. Nevertheless, while the results without robust standard errors are almost identical (difference in observations is the same like for robust SE), including them leads to the difference in p-values presented here. Can anybody help me to further understand the problem?

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  • $\begingroup$ What is the reason you deleted your original version of this question? $\endgroup$ – whuber May 4 at 14:05
  • $\begingroup$ It was the suggested solution to either edit the post or create a new one. As I read your comment I realized that my previous post was not well structured, so I rearranged it in a new post for better understanding and deleted the old one $\endgroup$ – TiTo May 4 at 14:14
  • $\begingroup$ It's unclear who might have suggested that--it's almost always better to edit a post rather than create a new one, unless the new one is so radically different that none of the comments, answers, or previous edits is relevant. This enables us to keep track of changes rather than having to read through a new (and long) post all over again, trying to figure out how it has been changed. $\endgroup$ – whuber May 4 at 15:40
  • $\begingroup$ I do not know Python and I am not a stata expert, but if I remember correctly the fe-option in stata do not add time-fixed effects. This does however seem to be the case for the PythonOLS command although that may depend on the exact construction of the MultiIndex DataFrames object. $\endgroup$ – Jesper for President May 5 at 8:24
  • $\begingroup$ It also seems strange to me that Python report 1304 entities and stata 531 groups. You seem to have some entities with 0 observations. Try to figure out what these entities are. $\endgroup$ – Jesper for President May 5 at 8:38
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If anybody has a similar question, I found my mistake. According to the linearmodels manual the robust SE used (White's robust covarinace) is not robust for fixed effects. Instead clustered covariance is required. Stata seems to adapt that automatically. Therefore the correct command is:

from linearmodels import PanelOLS
fe_mod = PanelOLS(df.y,sm2.add_constant(df[['x1' , 'x2']]), entity_effects=True)
fe_res = fe_mod.fit(cov_type='clustered', cluster_entity=True)
print(fe_res)

This leads to:

                              PanelOLS Estimation Summary                           
================================================================================
Dep. Variable:                      y   R-squared:                        0.0008
Estimator:                   PanelOLS   R-squared (Between):             -0.0212
No. Observations:               34338   R-squared (Within):               0.0008
Date:                Tue, May 05 2020   R-squared (Overall):           3.076e-05
Time:                        18:04:12   Log-likelihood                -4.647e+05
Cov. Estimator:             Clustered                                           
                                        F-statistic:                      13.569
Entities:                        1304   P-value                           0.0000
Avg Obs:                       26.333   Distribution:                 F(2,33805)
Min Obs:                       0.0000                                           
Max Obs:                       75.000   F-statistic (robust):             8.0007
                                        P-value                           0.0003
Time periods:                      88   Distribution:                 F(2,33805)
Avg Obs:                       390.20                                           
Min Obs:                       0.0000                                           
Max Obs:                       499.00                                           
                                                                                
                             Parameter Estimates                              
==============================================================================
            Parameter  Std. Err.     T-stat    P-value    Lower CI    Upper CI
------------------------------------------------------------------------------
const       5.472e+05  2.296e+04     23.840     0.0000   5.023e+05   5.922e+05
x1            -758.82     201.83    -3.7597     0.0002     -1154.4     -363.23
x2            -322.77     219.40    -1.4712     0.1413     -752.80      107.25
==============================================================================

F-test for Poolability: 1337.3
P-value: 0.0000
Distribution: F(530,33805)

Included effects: Entity

Which is close enough to the Stata version for me to trust the results.

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