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


From   P K <statistics_2009@yahoo.de>
To   statalist@hsphsun2.harvard.edu
Subject   AW: st: Re: random effects panel model - interpretation of rho=0
Date   Wed, 20 May 2009 16:15:48 -0700 (PDT)

great, many thanks, Martin!

here's the output I get:




Variable         |      Mean   Std. Dev.       Min        Max |    Observations
-----------------+--------------------------------------------+----------------
durati~e overall |  .7401247   1.268624          0          6 |     N =     481
         between |             .8008085          0          3 |     n =      63
         within  |             1.026628  -2.259875   4.640125 | T-bar = 7.63492
                 |                                            |
siccha~e overall |   .014553   .1198795          0          1 |     N =     481
         between |             .0720134          0         .5 |     n =      63
         within  |             .1094909   -.485447    .914553 | T-bar = 7.63492
                 |                                            |
ukdum    overall |  .4116424   .4926434          0          1 |     N =     481
         between |             .4895215          0          1 |     n =      63
         within  |                    0   .4116424   .4116424 | T-bar = 7.63492
                 |                                            |
frendum  overall |  .1580042   .3651246          0          1 |     N =     481
         between |             .3958308          0          1 |     n =      63
         within  |                    0   .1580042   .1580042 | T-bar = 7.63492
                 |                                            |
lgcoun~y overall |  1.511525   .8059394          0   2.995732 |     N =     481
         between |             .5820884          0   2.360973 |     n =      63
         within  |             .6050798  -.6089253   2.879957 | T-bar = 7.63492
                 |                                            |
mutdum   overall |  .0956341    .294395          0          1 |     N =     481
         between |              .316794          0          1 |     n =      63
         within  |                    0   .0956341   .0956341 | T-bar = 7.63492
                 |                                            |
lloyli~m overall |  .1288981    .335436          0          1 |     N =     481
         between |             .3356296          0          1 |     n =      63
         within  |                    0   .1288981   .1288981 | T-bar = 7.63492
                 |                                            |
lloynl~m overall |    .02079   .1428293          0          1 |     N =     481
         between |             .1259882          0          1 |     n =      63
         within  |                    0     .02079     .02079 | T-bar = 7.63492



----- Ursprüngliche Mail ----
Von: Martin Weiss <martin.weiss1@gmx.de>
An: statalist@hsphsun2.harvard.edu
Gesendet: Mittwoch, den 20. Mai 2009, 16:25:34 Uhr
Betreff: Re: st: Re: random effects panel model - interpretation of rho=0

<>

Very ture and my fault, conditioning on e(sample) only means the rows/observations used in estimation are summarized. To restrict to the covariates/columns, install Maarten`s -ssc d indeplist- and then, post-estimation:

***
indeplist
xtsum `r(X)' if e(sample)
***


HTH
Martin
_______________________
----- Original Message ----- From: "P K" <statistics_2009@yahoo.de>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, May 20, 2009 10:20 PM
Subject: AW: st: Re: random effects panel model - interpretation of rho=0


> Hi Martin,
> 
> it gives me the summary of most variables in my dataset, which are far more than the ones used in the regression. Can I limit the command somehow to
> the variables used in my estimation? ...otherwise I would have to create a separate dataset for the variables used in the regression...
> 
> thanks
> 
> 
> 
> ----- Ursprüngliche Mail ----
> Von: Martin Weiss <martin.weiss1@gmx.de>
> An: statalist@hsphsun2.harvard.edu
> Gesendet: Mittwoch, den 20. Mai 2009, 14:01:43 Uhr
> Betreff: st: Re: random effects panel model - interpretation of rho=0
> 
> <>
> 
> 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    -2.54 011    -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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