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st: Wald chi2 test with xtreg, re


From   Rosa Sanchis-Guarner <rosa.sanchis@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Wald chi2 test with xtreg, re
Date   Wed, 17 Oct 2007 15:19:54 -0400

Hi!!
Maybe this question has been asked before or it's very trivial, but
it's been a real nightmare to me to try to find out the answer!
I am performing an estimation of a migration equation using
xtreg y x1...xn, re i(id_obs) robust cluster(id_obs)
My question is:
how does STATA calculates the degrees of freedom of the Wald Chi2
test? I have a lot of observations (more than 30000), around 2000
groups and 15 T (even if it is an unbalanced panel because I have some
zeros).
The more regressors I use, the more dof the model seems to have, and I
don't know why!!
I give you two examples to clarify...

Any suggestions will be great!

Thanks in advance,
-- 
Rosa Sanchis-Guarner Herrero
-----------------
Anàlisi Quantitativa Regional (AQR) Research Group-IREA

Departament d'Econometria, Estadística i Economia Espanyola
Facultat de Ciències Econòmiques i Empresarials
Universitat de Barcelona
Avd. Diagonal, 690, Torre IV, 08034 Barcelona
tel: +34 934021011, Fax: +34 934021821
email: r.sanchis-guarner@ub.edu

"When life gives you lemons, sometimes you can make lemonade" John C.Baez



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