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From |
JOrsag@access.uzh.ch |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: how to interpret sigma_e, sigma_u and rho in xtreg, fe and re |

Date |
Tue, 07 Apr 2009 10:14:41 +0200 |

Hello everybody,

corr(u_i, Xb) F-Test / Wald Chi2 F test that all u_i=0 as well as R-sq

. xtreg xhdi5 mitgl dauer dauer2 openk polis handel aidpc mitgloffgdp, fe Fixed-effects (within) regression Group variable (i): landnr Number of obs = 1794 Number of groups = 71 Obs per group: min = 1 avg = 25.3 max = 30 R-sq: within = 0.5280 between = 0.0070 overall = 0.0394 F(8,1715) = 239.78 Prob > F = 0.0000 corr(u_i, Xb) = -0.1242 ------------------------------------------------------------------------------ xhdi5 | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- mitgl | .0270413 .0042603 6.35 0.000 .0186853 .0353973 dauer | .0012923 .0002916 4.43 0.000 .0007204 .0018643 dauer2 | .0000256 4.91e-06 5.21 0.000 .0000159 .0000352 openk | .0001462 .0000495 2.95 0.003 .0000491 .0002434 polis | -.0004915 .0006134 -0.80 0.423 -.0016945 .0007115 handel | .0057409 .0011263 5.10 0.000 .0035319 .00795 aidpc | -.0000454 .0000202 -2.24 0.025 -.0000851 -5.66e-06 mitgloffgdp | .0005159 .0000858 6.02 0.000 .0003477 .000684 _cons | .4023036 .0051096 78.73 0.000 .3922819 .4123253 -------------+---------------------------------------------------------------- sigma_u | .16528758 sigma_e | .02866292 rho | .97080605 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(70, 1715) = 515.05 Prob > F = 0.0000 Thank you in advance for any comments and insight. Greetings, Jakub Orsag * * 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/

**Follow-Ups**:**st: AW: how to interpret sigma_e, sigma_u and rho in xtreg, fe and re***From:*"Martin Weiss" <martin.weiss1@gmx.de>

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