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From |
Man Jia <jia.m@neu.edu> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 5 Sep 2008 23:56:55 -0400 (EDT) |

Hi Mr. Baum, Thanks very much for your wonderful example! I find I totally forget the step "egen oneu=tag(company)". Thanks for pointing out this point. Now, I understand why I got sd of u is not the same as sigma_u. Do you mind helping me with a related question? In your example, I tried to predict e(i,t): .predict e, e .sum e The result is Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- e | 200 -3.27e-08 51.28882 -184.0086 250.7097 while sigma_e = 52.767964 Could I think 51.28882 approximately equals 52.767964? Thanks very much! I really parreaite it. Man Jia ------------------------------------------------------------------------ -- Kit Baum wrote: >< > >Man Jia said >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. > > >webuse grunfeld >xtreg invest mvalue kstock,fe >predict u, u >egen oneu = tag(company) >su u if oneu > >There are only ten unique values of u_i. Their s.d. is indeed the same >as that reported by sigma_u. > >Kit Baum, Boston College Economics and DIW Berlin >http://ideas.repec.org/e/pba1.html >An Introduction to Modern Econometrics Using Stata: >http://www.stata-press.com/books/imeus.html > * * 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/

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