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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 17:13:11 -0000 |

Amber, The most likely explanation is that the estimates of the two sigmas are such that the esitmate of one of them (sigma_u) is <0. This can happen in finite samples. If you use the -sa- option, you'll get a different set of estimates of the sigmas, and the estimated sigma_u might well be >0. I am pretty sure there was a nice explanation of this by someone on Statalist about a year ago, but I can't remember the data or who it was. A trawl through the Statalist archives might turn up something. --Mark Date sent: Tue, 24 Feb 2004 11:14:03 -0500 (EST) To: statalist@hsphsun2.harvard.edu Subject: Re: st: sigma u listed as zero despite unit variance From: "Amber E. Boydstun" <aboydstun@psu.edu> Send reply to: statalist@hsphsun2.harvard.edu > 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/ 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**:**Re: st: sigma u listed as zero despite unit variance***From:*"Amber E. Boydstun" <aboydstun@psu.edu>

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