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


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/



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