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From |
"Amber E. Boydstun" <aboydstun@psu.edu> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Tue, 24 Feb 2004 11:14:03 -0500 (EST) |

Hi Mark, Thanks for your help! You're right that when I run normal OLS I get the same results (posted below). Can you tell me, is the reason that the random effects estimator has degenerated into the OLS estimator that I have such a small range of variance of mean dependent variable values across my units (from .6603999 to .6897267)? I guess I just thought that this small range would still count as SOME amount of random error that would register as a very small sigma_u, but something slightly greater than zero. Thanks again. - Amber regress dppct educpct repubpct fundpct whitepct; Source | SS df MS Number of obs = 220 -------------+------------------------------ F( 4, 215) = 3.57 Model | .134161295 4 .033540324 Prob > F = 0.0077 Residual | 2.02150052 215 .009402328 R-squared = 0.0622 -------------+------------------------------ Adj R-squared = 0.0448 Total | 2.15566182 219 .009843205 Root MSE = .09697 ------------------------------------------------------------------------------ dppct | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- educpct | .0596706 .0526787 1.13 0.259 -.0441622 .1635033 repubpct | .2223392 .1046384 2.12 0.035 .0160906 .4285877 fundpct | .2698267 .1397987 1.93 0.055 -.0057248 .5453781 whitepct | .2623254 .1236531 2.12 0.035 .0185978 .506053 _cons | .2656249 .1358642 1.96 0.052 -.0021714 .5334213 ------------------------------------------------------------------------------ On Tue, 24 Feb 2004 15:34:25 +0000, "Mark Schaffer" wrote: > 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/ > > 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/

**Follow-Ups**:**Re: st: sigma u listed as zero despite unit variance***From:*Constantine Daskalakis <C_Daskalakis@mail.jci.tju.edu>

**Re: st: sigma u listed as zero despite unit variance***From:*"Mark Schaffer" <M.E.Schaffer@hw.ac.uk>

**st: generating a variable as a subset of a numeric one***From:*"R.E. De Hoyos" <redeho2@hotmail.com>

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