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From |
sun samn <shwshang@hotmail.com> |

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

Subject |
RE: st: panel regression analysis interpretation |

Date |
Thu, 22 Apr 2010 15:05:04 +0800 |

Hi, basically the assumed model there is: yit=xit*beta+ui+eit as we know, the fixed effect estimates are the same as Pooled OLS with ui as parameters. For F test, since the P value is almost zero, then the null hypothesis is rejected, which means all uis cannot be zero, so the composite error terms(ui+eit) are correlated; so the iid condition is violated For rho, it is defined as rho=sigma_u^2/(sigma_u^2+sigma_e^2) corr(u_i, Xb) = -0.6067, means the correlation between ui and fitted values(xit*betahat) is -0.60 Please read page 273 of Wooldridge's book titled' econometrics analysis of cross section panel data' I hope this will help a little bit. ---------------------------------------- > Date: Wed, 21 Apr 2010 20:05:00 -0400 > Subject: st: panel regression analysis interpretation > From: marina.gindelsky@gmail.com > To: statalist@hsphsun2.harvard.edu > > 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) ? > > * > * 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/ _________________________________________________________________ Hotmail: Powerful Free email with security by Microsoft. https://signup.live.com/signup.aspx?id=60969 * * 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/

**References**:**st: panel regression analysis interpretation***From:*Marina Gindelsky <marina.gindelsky@gmail.com>

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