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st: Re: random effects panel model - interpretation of rho=0


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: random effects panel model - interpretation of rho=0
Date   Wed, 20 May 2009 20:01:43 +0200

<>

What does -xtsum if e(sample)- after estimation give you?


HTH
Martin
_______________________
----- Original Message ----- From: "P K" <statistics_2009@yahoo.de>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, May 20, 2009 7:52 PM
Subject: st: random effects panel model - interpretation of rho=0



Hi,

I run a random effects panel model of 64 subjects for 10 years each and have a question concerning the results: My output tells me that 0% of the variance of the dependent variable is between subjects and 100% is within subjects (rho).

I am not sure whether I understand the interpretation correctly, but I find this result a bit uncommon given that I test for a random effects model and
my theory predicts a lot of variation between my subjects.

Could there by any mistake in the analysis?
Thanks,
Pat

Here's the STATA output:

Random-effects GLS regression Number of obs = 545 Group variable: number Number of groups = 64

R-sq: within = 0.0138 Obs per group: min = 2 between = 0.1741 avg = 8.5 overall = 0.0168 max = 10

Random effects u_i ~ Gaussian Wald chi2(7) = 9.16 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.2416

------------------------------------------------------------------------------
AverCh~2adj2 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
duration_c~e | -.9013214 .3550697 -2.54 0.011 -1.597245 -.2053976 sicchange | 2.527742 4.073774 0.62 0.535 -5.456709 10.51219 ukdum | .5491039 1.126746 0.49 0.626 -1.659277 2.757485 frendum | -1.780095 1.522111 -1.17 0.242 -4.763378 1.203189 regnlistdum | -.6389011 1.09439 -0.58 0.559 -2.783865 1.506063 mutdum | .9720512 1.790017 0.54 0.587 -2.536318 4.48042 lgcount_st~y | -.2016355 .6181168 -0.33 0.744 -1.413122 1.009851 _cons | 1.249498 1.361879 0.92 0.359 -1.419735 3.918731
-------------+----------------------------------------------------------------
    sigma_u |          0
    sigma_e |  11.774903
        rho |          0   (fraction of variance due to u_i)
------------------------------------------------------------------------------




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