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Re: st: strange result of xtreg


From   Enrica Croda <croda@nicco.sscnet.ucla.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: strange result of xtreg
Date   Mon, 9 Dec 2002 20:38:18 -0800 (PST)

Hi,

you may want to give a look at the feedback I got last week from Mark
Schaffer and Marcela Perticara to my post on -xtreg- vs -regress,
cluster- (Dec 5). I think their replies apply to your post as well.
Good luck,
Enrica



On Tue, 10 Dec 2002, Lee Chuntao wrote:

> 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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