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From |
"Villa Lora, Juan Miguel" <JUANMIGUELV@Contractual.iadb.org> |

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

Subject |
RE: st: RE: random effects panel model - interpretation of rho=0 |

Date |
Wed, 20 May 2009 20:49:30 -0400 |

thanks for replying. As you need a contingency table, you can try among dummies tabulate them (by couples) with the option chi2 (see help tab) for peason's stat. Also remember the assumtion that in re option corr(u_i, X) = 0 is assumed rather than in the fe case. This mean that the covariance beetwen u_i and X must be 0. Consider this for your analysis and for interpreting your results. Juan. -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu on behalf of P K Sent: Wed 5/20/2009 7:24 PM To: statalist@hsphsun2.harvard.edu Subject: AW: st: RE: random effects panel model - interpretation of rho=0 thanks. When I enter the dummies in a multi-stage approach, rho is always zero, and stays zero throughout the adding of more dummies. Is there another way to detect collinearity between the dummies and the constant term (such as pwcorr for the independent variables' correlation)? ----- Ursprüngliche Mail ---- Von: "Villa Lora, Juan Miguel" <JUANMIGUELV@Contractual.iadb.org> An: statalist@hsphsun2.harvard.edu Gesendet: Mittwoch, den 20. Mai 2009, 16:35:30 Uhr Betreff: RE: st: RE: random effects panel model - interpretation of rho=0 Perhaps there's a problem with the specification of your equation regarding to the dummies variables: the variance of the estimation could be affected by a possible collinearity between dummies and the constant term as it's std. err is quite high. For bearing out this: What it happens to 'rho' if you include the dummies one by one (multi-stage)? -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of P K Sent: Miércoles, 20 de Mayo de 2009 04:13 p.m. To: statalist@hsphsun2.harvard.edu Subject: AW: st: RE: random effects panel model - interpretation of rho=0 thanks. Here's the result of the xtdes command: . xtdes number: 1, 2, ..., 67 n = 67 year: 1995, 1996, ..., 2004 T = 10 Delta(year) = 1 unit Span(year) = 10 periods (number*year uniquely identifies each observation) Distribution of T_i: min 5% 25% 50% 75% 95% max 10 10 10 10 10 10 10 Freq. Percent Cum. | Pattern ---------------------------+------------ 67 100.00 100.00 | 1111111111 ---------------------------+------------ 67 100.00 | XXXXXXXXXX . end of do-file and here's the command line of the xtreg command: xtreg AverChangeROEadj2 duration_change sicchange ukdum frendum lgcount_strategy mutdum lloylistdum lloynlistdum, re (FYI- sicchange ukdum frendum lgcount_strategy mutdum lloylistdum lloynlistdum are all control dummies) Pat ----- Ursprüngliche Mail ---- Von: "Villa Lora, Juan Miguel" <JUANMIGUELV@Contractual.iadb.org> An: statalist@hsphsun2.harvard.edu Gesendet: Mittwoch, den 20. Mai 2009, 14:02:56 Uhr Betreff: st: RE: random effects panel model - interpretation of rho=0 I would need further information. Please copy the result of the execution of the command xtdes and the command line of the regress..., re -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of P K Sent: Miércoles, 20 de Mayo de 2009 01:52 p.m. To: statalist@hsphsun2.harvard.edu 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) ------------------------------------------------------------------------------ * * 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/ * * 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/ * * 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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**References**:**st: random effects panel model - interpretation of rho=0***From:*P K <statistics_2009@yahoo.de>

**st: RE: random effects panel model - interpretation of rho=0***From:*"Villa Lora, Juan Miguel" <JUANMIGUELV@Contractual.iadb.org>

**AW: st: RE: random effects panel model - interpretation of rho=0***From:*P K <statistics_2009@yahoo.de>

**RE: st: RE: random effects panel model - interpretation of rho=0***From:*"Villa Lora, Juan Miguel" <JUANMIGUELV@Contractual.iadb.org>

**AW: st: RE: random effects panel model - interpretation of rho=0***From:*P K <statistics_2009@yahoo.de>

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