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如题。两个版本运行的结果和数据附在下面。问题是：不加robust之时，两个版本回归出来的固定效应和随机效应的系数的P值是一样的，加了robust之后就不一样了。我用的软件都是从论坛里下的。请问大家遇到过这样的问题么？这是软件的问题，还是stata不同版本处理robust的程序不同？先谢谢大家的回答了！
stata10运行的结果： . xtreg y x2 x6 x10 x11,re robust Random-effects GLS regression Number of obs = 255 Group variable: country Number of groups = 28 R-sq:within= 0.0250 Obs per group: min = 6 between = 0.4628 avg = 9.1 overall = 0.4230 max = 10 Random effects u_i ~ Gaussian Wald chi2(4) = 50.31 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 (Std. Err. adjusted for clustering on country) ------------------------------------------------------------------------------ | Robust y | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- x2 | .4308836 .21802 1.98 0.048 .0035723 .858195 x6 | .0200406 .0107436 1.87 0.062 -.0010165 .0410977 x10 | 1.880204 .8680591 2.17 0.030 .1788397 3.581569 x11 | .3568255 .1187031 3.01 0.003 .1241718 .5894792 _cons | .5334458 .0911517 5.85 0.000 .3547917 .7120998 -------------+---------------------------------------------------------------- sigma_u |.29668851 sigma_e |.14702103 stata11运行的结果： . xtreg y x2 x6 x10 x11,re robust Random-effects GLS regression Number of obs = 255 Group variable: country Number of groups = 28 R-sq:within= 0.0250 Obs per group: min = 6 between = 0.4628 avg = 9.1 overall = 0.4230 max = 10 Random effects u_i ~ Gaussian Wald chi2(4) = 39.95 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 (Std. Err. adjusted for 28 clusters in country) ------------------------------------------------------------------------------ | Robust y | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- x2 | .4308836 .3388115 1.27 0.203 -.2331746 1.094942 x6 | .0200406 .0157004 1.28 0.202 -.0107315 .0508127 x10 | 1.880204 .8539447 2.20 0.028 .2065033 3.553905 x11 | .3568255 .2210115 1.61 0.106 -.076349 .79 _cons | .5334458 .1240777 4.30 0.000 .290258 .7766335 -------------+---------------------------------------------------------------- sigma_u |.29668851 sigma_e |.14702103 rho |.80285179 (fraction of variance due to u_i) ------------------------------------------------------------------------------ |
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