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From |
"Martin Weiss" <martin.weiss1@gmx.de> |

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

Subject |
st: RE: RE: rho, sigma_u, sigma_e in xtreg |

Date |
Fri, 30 Apr 2010 23:11:24 +0200 |

<> " Have you had a look at the Methods and Formulas section in the manual entry for -xtreg-?" Or rather the "Remarks" on page 446-447 of the manual [XT]. HTH Martin -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Martin Weiss Sent: Freitag, 30. April 2010 22:42 To: statalist@hsphsun2.harvard.edu Subject: st: RE: rho, sigma_u, sigma_e in xtreg <> 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 * * 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/

**References**:**st: rho, sigma_u, sigma_e in xtreg***From:*"Katherine Packman" <packman@ualberta.ca>

**st: RE: rho, sigma_u, sigma_e in xtreg***From:*"Martin Weiss" <martin.weiss1@gmx.de>

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