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Re: st: Why does Stata tell me that Random effects u_i ~ Gaussian?


From   alejandro lopez-feldman <[email protected]>
To   [email protected]
Subject   Re: st: Why does Stata tell me that Random effects u_i ~ Gaussian?
Date   Tue, 29 Mar 2011 09:37:32 -0600

Dear Charles and Eric,

I agree with Eric that the FAQ needs to be corrected as normality is
not required when doing the GLS version of RE. That is why I am
wondering about that part of the output from xtreg, re.

Alejandro

2011/3/29 DE SOUZA Eric <[email protected]>:
> The FAQ needs to be corrected: the normal  distribution assumption is not required. See, for instance, Wooldridge's advanced textbook on cross-section and panel data.
>
>
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
>
>
>
> -----Original Message-----
> From: [email protected] [mailto:[email protected]] On Behalf Of Charles Koss
> Sent: 29 March 2011 16:39
> To: [email protected]
> Subject: Re: st: Why does Stata tell me that Random effects u_i ~ Gaussian?
>
> Take a look at the last paragraphs of this page http://www.stata.com/support/faqs/stat/xtreg.html
>
>
> --
> Charles Koss
> http://charlesonnet.blogspot.com
>
>
> On Mon, Mar 28, 2011 at 2:07 PM, alejandro lopez-feldman
> <[email protected]> wrote:
>> Hi all,
>>
>> I have a question about the Stata output after xtreg, re.  My question
>> is very simple, why does Stata tell me that Random effects u_i ~
>> Gaussian? The theory for estimating random effects using GLS doesn't
>> require the normality assumption so I was wondering if that is used in
>> any of the output reported when using , re? I can't see why that info
>> is relevant there (if I was using MLE that would be other story).
>>
>> Thanks for any help
>>
>> Alejandro
>>
>>
>>
>> --
>> -------------------------
>> Alejandro López-Feldman
>> Profesor-Investigador
>> CIDE, División de Economía
>> +(52) 5727-98-00 ext. 2736
>> http://www.cide.edu/investigador/profile.php?IdInvestigador=1195
>>
>> *
>> *   For searches and help try:
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>> *   http://www.ats.ucla.edu/stat/stata/
>>
>
> *
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-- 
-------------------------
Alejandro López-Feldman
Profesor-Investigador
CIDE, División de Economía
+(52) 5727-98-00 ext. 2736
http://www.cide.edu/investigador/profile.php?IdInvestigador=1195

*
*   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/


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