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st: panel regression analysis interpretation


From   Marina Gindelsky <marina.gindelsky@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: panel regression analysis interpretation
Date   Wed, 21 Apr 2010 20:05:00 -0400

Hi all,

This is my first time on the listserve, so I apologize if my post
isn't done correctly - please let me know. I am running an xtreg
regression for a fixed-effects model on panel data. I would like to
check whether all the OLS assumptions are ok and don't know which
commands to employ to test for what potential problems I could have in
my regression. I understand basic output results in terms of the box
but don't know which other results correspond to which OLS
assumptions. Thanks for your time. See results below:


Fixed-effects (within) regression               Number of obs      =     11385
Group variable: cntry_sector
  Number of groups   =      1265

R-sq:  within  = 0.0088                         Obs per group: min =         9
       between = 0.0422                                        avg =       9.0
       overall = 0.0058                                        max =         9

                                                F(18,10102)        =      4.99
corr(u_i, Xb)  = -0.6067                        Prob > F           =    0.0000

------------------------------------------------------------------------------
      invest |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
   bilateral |  -2115.566   1969.677    -1.07   0.283    -5976.524    1745.392
  braindrain |   1151.711   806.5183     1.43   0.153    -429.2253    2732.647
  regulation |   995.9853   532.6012     1.87   0.062     -48.0191     2039.99
    xrchange |   6.013753   13.17432     0.46   0.648    -19.81054    31.83805
       civil |   1234.246   590.0619     2.09   0.036     77.60741    2390.885
 environment |  -610.7428   449.0376    -1.36   0.174    -1490.946    269.4602
          xr |   .1900757   .6089638     0.31   0.755    -1.003614    1.383766
  corruption |    18.7143   25.00766     0.75   0.454    -30.30569     67.7343
         gdp |  -7.588705    2.03874    -3.72   0.000    -11.58504    -3.59237
   gdpgrowth |   137.2847   76.59318     1.79   0.073    -12.85314    287.4226
gdppercapita |  -.2519762   .0719778    -3.50   0.000    -.3930671   -.1108854
   inflation |  -10.41207   10.72849    -0.97   0.332    -31.44204    10.61789
         ipp |   309.6962   781.7363     0.40   0.692    -1222.662    1842.055
    internet |   -6.65948   31.54257    -0.21   0.833    -68.48919    55.17023
    research |   603.5726    692.835     0.87   0.384    -754.5217    1961.667
 lendingrate |   70.42904   52.53728     1.34   0.180    -32.55447    173.4125
    phoneavg |   153.1085   31.87462     4.80   0.000     90.62792    215.5891
  university |  -2173.322   663.4034    -3.28   0.001    -3473.725   -872.9195
       _cons |  -2377.802   4799.696    -0.50   0.620    -11786.16    7030.557
-------------+----------------------------------------------------------------
     sigma_u |   14989.05
     sigma_e |    21959.4
         rho |  .31783249   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0:     F(1264, 10102) =     2.52         Prob > F = 0.0000

What does corr(u_i, Xb)  = -0.6067  mean?
Does F test that all u_i=0:     F(1264, 10102) =     2.52         Prob
> F = 0.0000 mean iid?
and what does
rho |  .31783249   (fraction of variance due to u_i)
mean (interpretation wise) ?

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