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


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:
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> *   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
*
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