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st: sigma u listed as zero despite unit variance


From   "Amber E. Boydstun" <aboydstun@psu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: sigma u listed as zero despite unit variance
Date   Tue, 24 Feb 2004 10:29:44 -0500 (EST)

I'm very confused about why the sigma_u listed in the output from a random
effects model reports a value of zero, despite the fact that I have unit
variance in my dataset (I promise).  I'm attaching the output below.  Could
someone please tell me what this means?  Thanks!




xtreg dppct educpct repubpct fundpct whitepct, re;

Random-effects GLS regression                   Number of obs      =       220
Group variable (i) : cohort                     Number of groups   =        10

R-sq:  within  = 0.0577                         Obs per group: min =        22
       between = 0.6344                                        avg =      22.0
       overall = 0.0622                                        max =        22

Random effects u_i ~ Gaussian                   Wald chi2(4)       =     14.27
corr(u_i, X)       = 0 (assumed)                Prob > chi2        =    0.0065

------------------------------------------------------------------------------
       dppct |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     educpct |   .0596706   .0526787     1.13   0.257    -.0435777    .1629189
    repubpct |   .2223392   .1046384     2.12   0.034     .0172516    .4274267
     fundpct |   .2698267   .1397987     1.93   0.054    -.0041737     .543827
    whitepct |   .2623254   .1236531     2.12   0.034     .0199697    .5046811
       _cons |   .2656249   .1358642     1.96   0.051     -.000664    .5319138
-------------+----------------------------------------------------------------
     sigma_u |          0
     sigma_e |  .09882399
         rho |          0   (fraction of variance due to u_i)
------------------------------------------------------------------------------
Amber E. Boydstun
Graduate Student
Department of Political Science
Penn State University
University Park, PA 16802-6200
aboydstun@psu.edu
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