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
[email protected]
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