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From |
"Martin Weiss" <martin.weiss1@gmx.de> |

To |
<statalist@hsphsun2.harvard.edu> |

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

Date |
Tue, 7 Apr 2009 10:25:54 +0200 |

<> " I particularly do not understand how the F test that all u_i=0 can be signifikant and at the same time rho to be so large." Well, they measure different things: -rho- is the share of the estimated variance of the overall error accounted for by the individual effect u_i. You can replicate it as in *** 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 *replication of rho di e(sigma_u)^2/(e(sigma_u)^2+e(sigma_e)^2) *** The F-test is designed to jointly test that all individual effects u_i are zero. The answers to both questions need not coincide... HTH Martin -----Ursprüngliche Nachricht----- Von: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von JOrsag@access.uzh.ch Gesendet: Dienstag, 7. April 2009 10:15 An: statalist@hsphsun2.harvard.edu Betreff: st: how to interpret sigma_e, sigma_u and rho in xtreg, fe and re Hello everybody, Can somebody please help me with the following rather beginner problem of mine. Using STATA 8 I have computed couple of Regressions estimating Fixed and Random effects such as the one, whoch follows bellow. Now I have to chose few of them to support or decline my theoretical thesis. In doing so I have used the following parameters: corr(u_i, Xb) F-Test / Wald Chi2 F test that all u_i=0 as well as R-sq In the following regression seem all of these desicive parameters to be very good. My question is how to interpret sigma_e, sigma_u and rho or in other words is it a problem when rho, which is defined as fraction of variance of the dependet variable due to u_i, is so large (0.9708) as in the case bellow? I particularly do not understand how the F test that all u_i=0 can be signifikant and at the same time rho to be so large. . 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/ * * 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: how to interpret sigma_e, sigma_u and rho in xtreg, fe and re***From:*JOrsag@access.uzh.ch

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