[R] Sata and R users GLM methods translation

Jason Morgan
2010-01-22T22:20:40Z

Hello Jean-Baptiste,

On 2010.01.22 16:32:53, Jean-Baptiste Combes wrote:
> Hello,
>
> I am learning R and I am fluent in Stata and I try to translate part of my
> Stata code to R to check the reliability of the data under R. I have a
> proportion variable as a dependent variable pQSfteHT . Independent
variables
> are dummies for two categorical variables called dQSvacrateHTQuali3 and
> cluster_3.  I am fitting a model with the Stata command below:
>
> glm pQSfteHT dQSvacrateHTQuali3_2 dQSvacrateHTQuali3_3 dQSvacrateHTQuali3_4
> dQSvacrateHTQuali3_5 cluster_32 cluster_33 cluster_34, link(probit)
> family(binomial) robust
>
> and the same (I expect) model with R with the command below:
>
> nurse.model<-glm(pQSfteHT~dQSvacrateHTQuali3_2 + dQSvacrateHTQuali3_3 +
> dQSvacrateHTQuali3_4 + dQSvacrateHTQuali3_5 + cluster_32 + cluster_33 +
> cluster_34 ,family=binomial(link = "logit"))
>
> I found some differences in the parameters, could it come from the
"robust"
> option in the Stata command? It sounds strange that a variance option would
> lead to changes in parameters estimation but I am not an econometrician.

I noticed this same thing about a year ago when comparing STATA and R
results (though, I was comparing simple linear models). It seems that,
for whatever reason, STATA was reporting slight differences in the
coefficients when applying robust. In R, on the other hand, one
typically gets robust standard errors by applying, e.g., a sandwich
estimator on the variance-covariance matrix of a model previously
estimated. I am not sure what STATA is doing, and I haven't cared enough
to check, but my understanding was also that the estimated coefficients
should not have been affected by rubust (at least in the context of a
strictly linear model).

Cheers,
~Jason

> Is anyone bilingual in R and Stata and could have a look at the syntaxes
> above?
>
> Thank you in advance
>
> Thank you also to the people answering my previous enquiry.
>
> Jean-Baptiste
>

--
Jason W. Morgan
Graduate Student
Department of Political Science
*The Ohio State University*
154 North Oval Mall
Columbus, Ohio 43210