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st: RE: rho, sigma_u, sigma_e in xtreg


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: rho, sigma_u, sigma_e in xtreg
Date   Fri, 30 Apr 2010 22:42:11 +0200

<>

Have you had a look at the Methods and Formulas section in the manual entry
for -xtreg-? If you want to check Stata`s calculation:


***
webuse nlswork, clear

gen age2 = age*age
gen ttl_exp2 = ttl_exp*ttl_exp
gen tenure2 = tenure*tenure
gen byte black = race==2

xtset idcode

xtreg ln_w grade age* ttl_exp* tenure* /* 
 */ black not_smsa south, fe
 
di "Rho is: " in r e(sigma_u)^2/(e(sigma_u)^2+e(sigma_e)^2)

***


HTH
Martin

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Katherine Packman
Sent: Freitag, 30. April 2010 22:34
To: statalist@hsphsun2.harvard.edu
Subject: st: rho, sigma_u, sigma_e in xtreg

I have somewhat of a basic question.

I am running xtreg assuming random effects for 150 observations  
(cross-section is 10 and timeseries is 15). I was wondering if anyone  
could explain what rho, sigma_u and sigma_e mean. This is an example  
of my output:


. xtreg pmor dumcov dumuni dum_cu lnprd prduni

Random-effects GLS regression                   Number of obs      =
150
Group variable: session                         Number of groups   =
10

R-sq:  within  = 0.2093                         Obs per group: min =
15
        between = 0.6968                                        avg =
15.0
        overall = 0.3196                                        max =
15

Random effects u_i ~ Gaussian                   Wald chi2(5)       =
50.32
corr(u_i, X)       = 0 (assumed)                Prob > chi2        =
0.0000

----------------------------------------------------------------------------
--
         pmor |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+--------------------------------------------------------------
--
       dumcov |   .1254805   .0344025     3.65   0.000     .0580529
.1929082
       dumuni |  -.0042582   .0392887    -0.11   0.914    -.0812628
.0727463
       dum_cu |  -.1437736   .0444134    -3.24   0.001    -.2308223
-.0567249
        lnprd |   -.077336   .0130727    -5.92   0.000     -.102958
-.051714
       prduni |   .0101917    .002951     3.45   0.001     .0044079
.0159756
        _cons |    .886512   .0343942    25.78   0.000     .8191005
.9539234
-------------+--------------------------------------------------------------
--
      sigma_u |  .02692048
      sigma_e |   .0829595
          rho |  .09526924   (fraction of variance due to u_i)
----------------------------------------------------------------------------
--


Any help would be appreciated.

Cheers

-- 
Katherine
University of Alberta




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