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From |
"Mark Schaffer" <M.E.Schaffer@hw.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: sigma u listed as zero despite unit variance |

Date |
Tue, 24 Feb 2004 15:34:25 -0000 |

Amber, I think this means the random effects estimator has degenerated, so to speak, into the OLS estimator. Try running the regression using simple pooled OLS, i.e., using -regress-, and see if the results are the same. --Mark Date sent: Tue, 24 Feb 2004 10:29:44 -0500 (EST) To: statalist@hsphsun2.harvard.edu Subject: st: sigma u listed as zero despite unit variance From: "Amber E. Boydstun" <aboydstun@psu.edu> Send reply to: statalist@hsphsun2.harvard.edu > 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 * * For searches and help try: * > http://www.stata.com/support/faqs/res/findit.html * > http://www.stata.com/support/statalist/faq * > http://www.ats.ucla.edu/stat/stata/ Prof. Mark E. Schaffer Director Centre for Economic Reform and Transformation Department of Economics School of Management & Languages Heriot-Watt University, Edinburgh EH14 4AS UK 44-131-451-3494 direct 44-131-451-3008 fax 44-131-451-3485 CERT administrator http://www.som.hw.ac.uk/cert * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: sigma u listed as zero despite unit variance***From:*"Amber E. Boydstun" <aboydstun@psu.edu>

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