Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: sigma_u = 0 in xtreg, re


From   Lloyd Dumont <lloyddumont@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: sigma_u = 0 in xtreg, re
Date   Mon, 29 Aug 2011 11:45:52 -0700 (PDT)

Hello, Statalist.

I am a little confused by the output from an -xtreg, re- estimate.

Basically, I end up with sigma_u = 0, which of course yields rho = 0.  That seems very odd to me.  I would guess that that should only happen if there is no between-subject variation.  But, (I think) I can tell from examining the data that that is not the case.

I have tried to create a mini example…  First, I will show the xtreg results.  Then, I will show you what I think is the evidence that there really IS some between-subject variation.

Am I missing something obvious here?  Thank you for your help and suggestions.  Lloyd Dumont


. xtreg Y X, re

Random-effects GLS regression                   Number of obs      =      3133
Group variable: ID                              Number of groups   =        31

R-sq:  within  = 0.4333                         Obs per group: min =         1
       between = 0.8278                                        avg =     101.1
       overall = 0.4579                                        max =       124

                                                Wald chi2(1)       =   2644.38
corr(u_i, X)   = 0 (assumed)                    Prob > chi2        =    0.0000

------------------------------------------------------------------------------
           Y |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
           X |  -.0179105   .0003483   -51.42   0.000    -.0185932   -.0172279
       _cons |   1.004496   .0017687   567.92   0.000     1.001029    1.007963
-------------+----------------------------------------------------------------
     sigma_u |          0
     sigma_e |  .07457648
         rho |          0   (fraction of variance due to u_i)
------------------------------------------------------------------------------




. xtsum X

Variable         |      Mean   Std. Dev.       Min        Max |    Observations
-----------------+--------------------------------------------+----------------
X        overall |  3.277883   3.875116          0       42.5 |     N =    3137
         between |             1.286754          0   6.890338 |     n =      31
         within  |             3.729614  -3.612455   42.24883 | T-bar = 101.194
 


. xtsum Y

Variable         |      Mean   Std. Dev.       Min        Max |    Observations
-----------------+--------------------------------------------+----------------
Y        overall |  .9457124   .1025887          0          1 |     N =    3133
         between |             .0315032   .8387879          1 |     n =      31
         within  |             .0985757  -.0235858   1.106925 | T-bar = 101.065

.


*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index