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: [email protected]
> Subject: st: sigma u listed as zero despite unit variance
> From: "Amber E. Boydstun" <[email protected]>
> Send reply to: [email protected]
>
> > 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] * * For searches and help try: *
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> > 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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>
>
Amber E. Boydstun
Graduate Student
Department of Political Science
Penn State University
University Park, PA 16802-6200
[email protected]
*
* For searches and help try:
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* http://www.ats.ucla.edu/stat/stata/
