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st:(fixed effect) sigma_u & s.d. of u


From   Man Jia <jia.m@neu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st:(fixed effect) sigma_u & s.d. of u
Date   Fri, 5 Sep 2008 18:46:49 -0400 (EDT)

Hi all,

Sorry to bother you with a very simple question. I just can't figure 
out why in my xtreg,fe output is value for sigma_u and the value for 
sd. of predicted u is not the same. I'm thinking I must have got lost 
with some simple thing. Could anyone give some hint? Thanks in advance!

At the bottom of the result from --xtreg,fe  stata reports sigma_u. I'm 
thinking it means the standard deviation of u(fixed effect). Please 
correct me if I'm wrong here. Then, I use --predict u,u to get variable 
u. But the standard deviation of u is not the same as sigma_u. I think 
either I misunderstand sigma_u's meaning or predicted u's meaning. Any 
comments is highly appreciated.

Thanks!
Man Jia


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