[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

# st: FW: Xtivreg and Chi-Square

 From "Mortal, Sandra C." To 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

*
*   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/
```

 © Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index