[R] Confusion going from Stata -> R

[Rob Denniker]

Dear list,

I am trying to replicate some Stata results but having a tough time doing it in R.  The goal is to obtain a difference-in-difference estimate in a model with simple state fixed effects. The "state" variable is a factor, but some levels are missing.  It appears that Stata automatically recognizes this and works around it. It also automatically pick "ME" as the base state  (see below), but trying to do the same thing in R does not yield the same results... 

The data is as follows:

# States were assigned to treatment and control groups in 1976, and  residents surveyed in 1976 and 1985
# i.year indicates the year the respondent was surveyed
# i.st is a factor indicating the respondent's state of residence
# i.treatment is a dummy indicating whether that individual was resident in a treatment state
# hwover is the binary response variable of interest

load(url("http://h1.ripway.com/rdump/d.rdata"))
# load data frame "d" (slow to load, retry if 404)

# Code i.st as a factor
d$i.st <- factor(d$st)
n.i.st <- length(levels(d$i.st))
levels(d$i.st)[14] # Level 14 == "ME"
contrasts(d$i.st) <- contr.treatment(n.i.st, base = 14, contrasts=T)  # Sets base level to "ME"
attributes(d$i.st)

# Difference-in-difference estimate
reg1 <- lm(hwover ~ i.treatment*i.year + i.st, data=d, weights=weight1)
summary(reg1)
# Output (correctly) omit state "14" ("ME")
# Estimates of average treatment effect (coefficient on i.treatment1:i.year1985) same as Stata's
# So is the coefficient on i.year1985.
# All other params are off.


For comparison, I am pasting Stata's output below.
Any ideas would be much appreciated!


xi: reg hwover i.treatment*i.year i.st if st1976==1 [pw=weight1]
i.treatment       _Itreatment_0-1     (naturally coded; _Itreatment_0 omitted)
(characteristic year[omit]: 1968
yet variable year never equals 1968; characteristic ignored)
i.year            _Iyear_1976-1985    (naturally coded; _Iyear_1976 omitted)
i.tre~t*i.year    _ItreXyea_#_#       (coded as above)
i.st              _Ist_1-52           (_Ist_23 for st==ME omitted)
(sum of wgt is   6.0268e+03)

Linear regression                                      Number of obs =    5976
                                                       F( 37,  5938) =    1.37
                                                       Prob > F      =  0.0650
                                                       R-squared     =  0.0083
                                                       Root MSE      =  .32063

------------------------------------------------------------------------------
             |               Robust
      hwover |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
_Itreatmen~1 |   .0117852   .0438655     0.27   0.788    -.0742072    .0977775
 _Iyear_1985 |   .0297313   .0163587     1.82   0.069    -.0023377    .0618004
_ItreXy~1985 |   -.055271   .0198304    -2.79   0.005    -.0941457   -.0163963
      _Ist_1 |  (dropped)
      _Ist_2 |  (dropped)
      _Ist_3 |  -.0029799   .0325302    -0.09   0.927     -.066751    .0607912
      _Ist_4 |  (dropped)
      _Ist_5 |   .0472988   .0408782     1.16   0.247    -.0328373    .1274349
      _Ist_6 |    .072884   .0292795     2.49   0.013     .0154855    .1302826
      _Ist_7 |   .0995722   .0440573     2.26   0.024     .0132039    .1859406
      _Ist_8 |   .0489226   .0424768     1.15   0.249    -.0343473    .1321926
      _Ist_9 |  (dropped)
     _Ist_10 |  (dropped)
     _Ist_11 |   .0591339   .0341094     1.73   0.083    -.0077329    .1260008
     _Ist_12 |   .0229454   .0355917     0.64   0.519    -.0468274    .0927181
     _Ist_13 |  (dropped)
     _Ist_14 |  (dropped)
     _Ist_15 |   .0058994   .0511652     0.12   0.908     -.094403    .1062018
     _Ist_16 |   .0830382   .0326732     2.54   0.011     .0189868    .1470896
     _Ist_17 |   .0579801   .0385756     1.50   0.133    -.0176421    .1336022
     _Ist_18 |  -.0013615   .0342379    -0.04   0.968    -.0684803    .0657573
     _Ist_19 |  (dropped)
     _Ist_20 |   .0310298   .0428693     0.72   0.469    -.0530095    .1150692
     _Ist_21 |  (dropped)
     _Ist_22 |   .0302868   .0448914     0.67   0.500    -.0577166    .1182902
     _Ist_24 |    .060111   .0334748     1.80   0.073    -.0055119    .1257338
     _Ist_25 |   .0003036   .0329512     0.01   0.993    -.0642926    .0648999
     _Ist_26 |    -.00681   .0307812    -0.22   0.825    -.0671522    .0535323
     _Ist_27 |   .0452638   .0503703     0.90   0.369    -.0534803    .1440078
     _Ist_28 |   .0869412   .0867014     1.00   0.316     -.083025    .2569075
     _Ist_29 |  -.0059285   .0384747    -0.15   0.878    -.0813529    .0694959
     _Ist_30 |  (dropped)
     _Ist_31 |   .1421038   .0558453     2.54   0.011     .0326267    .2515808
     _Ist_32 |  (dropped)
     _Ist_33 |   .0552327   .0331347     1.67   0.096    -.0097233    .1201887
     _Ist_34 |  (dropped)
     _Ist_35 |  (dropped)
     _Ist_36 |   .0245104   .0377347     0.65   0.516    -.0494633    .0984841
     _Ist_37 |   .0558682   .0307152     1.82   0.069    -.0043448    .1160812
     _Ist_38 |  (dropped)
     _Ist_39 |   .0429489     .04253     1.01   0.313    -.0404253    .1263232
     _Ist_40 |   .0230925   .0301413     0.77   0.444    -.0359955    .0821804
     _Ist_41 |  (dropped)
     _Ist_42 |   .0408904   .0374549     1.09   0.275    -.0325349    .1143157
     _Ist_43 |  (dropped)
     _Ist_44 |   .0039713   .0431761     0.09   0.927    -.0806695    .0886122
     _Ist_45 |   .0425491   .0295203     1.44   0.150    -.0153213    .1004196
     _Ist_46 |   .0148853   .0447929     0.33   0.740    -.0729251    .1026957
     _Ist_47 |   .0146356   .0427135     0.34   0.732    -.0690984    .0983695
     _Ist_48 |   .1538798   .0817703     1.88   0.060    -.0064197    .3141793
     _Ist_49 |   .0191617   .0332331     0.58   0.564    -.0459873    .0843107
     _Ist_50 |    .033731   .0389537     0.87   0.387    -.0426325    .1100945
     _Ist_51 |   .0431437   .0482243     0.89   0.371    -.0513934    .1376808
     _Ist_52 |  (dropped)
       _cons |   .0765964   .0365322     2.10   0.036       .00498    .1482128
------------------------------------------------------------------------------