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st: strange result of xtreg


From   "Lee Chuntao" <chtl@econ.hku.hk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: strange result of xtreg
Date   Tue, 10 Dec 2002 12:09:46 +0800

Hi Listers,

    I have run an xtreg with 3 explanatary variables.

the result shows that, there are within and between variations, whereas the
sigma_u is zero.

can you tell me why?
thanks



 xtreg invest l_tobinq cash nta

Random-effects GLS regression                   Number of obs      =
1680
Group variable (i) : i                          Number of groups   =
280

R-sq:  within  = 0.0862                         Obs per group: min =
6
       between = 0.5242                                        avg =
6.0
       overall = 0.1601                                        max =
6

Random effects u_i ~ Gaussian                   Wald chi2(3)       =
319.48
corr(u_i, X)       = 0 (assumed)                Prob > chi2        =
0.0000

----------------------------------------------------------------------------
--
      invest |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
    l_tobinq |   .1258068   .0586902     2.14   0.032     .0107761
.2408374
        cash |   .1442353    .008403    17.16   0.000     .1277656
.160705
         nta |  -.1554083   .0710843    -2.19
0.029     -.294731   -.0160855
       _cons |   3.458639   1.513534     2.29   0.022     .4921665
6.425112
-------------+--------------------------------------------------------------
--
     sigma_u |          0
     sigma_e |  2.6171947
         rho |          0   (fraction of variance due to u_i)
----------------------------------------------------------------------------
--


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