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Eleonora,
see the FAQ here: http://www.stata.com/support/faqs/stat/xtreg2.html
Hope this helps,
Eva
2009/6/11 Eleonora Bartoloni06 <[email protected]>:
> Hallo,
>
> Is there someone who can help me in interpreting correctly the constant term in a xtreg procedure with fixed effects?
>
> I have estimated the following model:
>
> xtreg ros lros, fe
>
> I have obtained the following results:
>
>
> Fixed-effects (within) regression Number of obs = 18102
> Group variable: codice_i Number of groups = 2586
>
> R-sq: within = 0.1347 Obs per group: min = 7
> between = 0.9609 avg = 7.0
> overall = 0.6225 max = 7
>
> F(1,15515) = 2415.35
> corr(u_i, Xb) = 0.7916 Prob > F = 0.0000
>
> ------------------------------------------------------------------------------
> ros | Coef. Std. Err. t P>|t| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> ros |
> L1. | .3752229 .0076348 49.15 0.000 .3602578 .390188
> _cons | 6.288536 .0885829 70.99 0.000 6.114903 6.462169
> -------------+----------------------------------------------------------------
> sigma_u | 3.7527417
> sigma_e | 4.0508966
> rho | .46184853 (fraction of variance due to u_i)
> ------------------------------------------------------------------------------
> F test that all u_i=0: F(2585, 15515) = 2.24 Prob > F = 0.0000
>
>
> I thought that the constant term (_cons=6.288536) was the average of the individual fixed effects.
>
> Instead, if i compute summary statistics of the fixed effects obtained by using the following command:
>
> summarize fe
>
> Ithe results are:
>
> Variable | Obs Mean Std. Dev. Min Max
> -------------+--------------------------------------------------------
> fe | 18102 .0010154 3.752186 -20.95681 17.61897
>
> How is possible that the mean value of the fixed effects (.0010154) is so different with respect to the constant term in the xtreg output?
>
> Which is the right interpretation of the constant term in the xtreg estimation with fixed effects?
>
> Thank you for the attention
> Eleonora Bartoloni
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