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st: FW: Xtivreg and Chi-Square


From   "Mortal, Sandra C." <mortals@missouri.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: FW: Xtivreg and Chi-Square
Date   Thu, 3 Aug 2006 09:25:35 -0500

Hi, 

I am using the command xtivreg, I have an unbalanced panel and am using
fixed effects. My question is regarding the overall goodness of fit of
the regressors.  STATA reports a Wald Chi Square statistic of 434634.68.
However, when I use the test command to test the hypothesis that all of
the coefficients (except the firm dummies) are equal to zero I get a
much more reasonable statistic.  I get a value of 7236.41.  Also, I've
been able to replicate this number, while I am completely unable to
replicate the number reported right after the iv regression command. I
wonder if anyone could tell me the reason for this discrepancy.  I have
included the respective outputs below.

Thank you in advance for your help, 
Sandra 

 

. xtivreg leveragemvf1 (turnover=turnoveri) drating mb  eta depa irdd
randda logsizebd ret pgy2d  cpspread , fe i(permno);

Fixed-effects (within) IV regression         Number of obs      =
45945 
Group variable: permno                       Number of groups   =
8026 

R-sq:  within  = 0.1595                      Obs per group: min =
1 
       between = 0.1716                                     avg =
5.7 
       overall = 0.1762                                     max =
19 

                                             Wald chi2(11)      =
434634.68 
corr(u_i, Xb)  = -0.1251                     Prob > chi2        =
0.0000 

------------------------------------------------------------------------
------ 
leveragemvf1 |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval] 
-------------+----------------------------------------------------------
------ 
    turnover |  -2.320024   .2632847    -8.81   0.000    -2.836052
-1.803995 
     drating |   2.152626   .2693379     7.99   0.000     1.624733
2.680519 
          mb |  -2.011589   .1087904   -18.49   0.000    -2.224814
-1.798363 
         eta |  -3.368408   .1067333   -31.56   0.000    -3.577602
-3.159215 
        depa |   .6071639   .1246147     4.87   0.000     .3629235
.8514043 
        irdd |  -.8173588   .4365988    -1.87   0.061    -1.673077
.0383591 
      randda |  -.8690489    .149891    -5.80   0.000     -1.16283
-.575268 
   logsizebd |   10.25134   .2971439    34.50   0.000     9.668953
10.83374 
         ret |  -.3286456   .0161068   -20.40   0.000    -.3602144
-.2970768 
       pgy2d |  -4.800349   .2518534   -19.06   0.000    -5.293973
-4.306726 
    cpspread |    7.88824   .2836412    27.81   0.000     7.332313
8.444166 
       _cons |   32.36606    .278241   116.32   0.000     31.82072
32.91141 
-------------+----------------------------------------------------------
------ 
     sigma_u |  20.522888 
     sigma_e |   11.67359 
         rho |  .75554783   (fraction of variance due to u_i) 
------------------------------------------------------------------------
------ 
F  test that all u_i=0:     F(8025,37908) =    10.23      Prob > F    =
0.0000 
------------------------------------------------------------------------
------  

. test turnover drating mb  eta depa irdd randda logsizebd ret pgy2d
cpspread;

 ( 1)  turnover = 0
 ( 2)  drating = 0
 ( 3)  mb = 0
 ( 4)  eta = 0
 ( 5)  depa = 0
 ( 6)  irdd = 0
 ( 7)  randda = 0
 ( 8)  logsizebd = 0
 ( 9)  ret = 0
 (10)  pgy2d = 0
 (11)  cpspread = 0

           chi2( 11) = 7236.41
         Prob > chi2 =    0.0000



 


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