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From |
Martin Weiss <martin.weiss@uni-tuebingen.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: estimation output of xtreg: rho, chi squared |

Date |
Thu, 4 Sep 2008 19:47:10 +0200 |

Try this for the calculation:

********

webuse nlswork, clear

generate age2 = age^2

generate ttl_exp2 = ttl_exp^2

generate tenure2 = tenure^2

generate byte black = race==2

xtset idcode

xtreg ln_w grade age* ttl_exp* tenure* black not_smsa south, fe

eret li

di e(rho)

*alternative

di e(sigma_u)^2/(e(sigma_e)^2+e(sigma_u)^2)

xtreg ln_w grade age* ttl_exp* tenure* black not_smsa south, re theta

di e(chi2)

*alternative

test grade age age2 ttl_exp ttl_exp2 tenure tenure2 black not_smsa south

***********

Rho denotes the variance due to the random effects u_i, and Stata says that quite clearly in its output. Chi2 is the test statistic for the joint test that all coefficients estimated are zero...

HTH

Martin

Quoting tutor um <tutor2005um@googlemail.com>:

Hi everybody, I am puzzled of the exact meaning and interpretation of rho and chi squared that are saved in e() after regressing with xtreg and other panel regression commands. How are they to be interpreted? Should a higher rho be better? And what does the chi squared tell me? If you have good resource you can recommend I would be very thankful to receive a pointer to that. Thank you for bringing some light into this for me. Enrique. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: estimation output of xtreg: rho, chi squared***From:*"tutor um" <tutor2005um@googlemail.com>

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