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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: sigma_u = 0 in xtreg, re |

Date |
Mon, 29 Aug 2011 15:50:11 -0500 |

Note that you have a very decent R^2, especially the between one. It looks, hence, that all of the bewteen-panel variability in Y is explained by the between-panel variability in X's (the ICC's were quite similar for each of the variables), so there indeed is little left that needs explaining. -xtsum- is somewhat misleading here, as this is a marginal measure, not a conditional one (which is what matters for the regression). Technically speaking, you are hitting a corner solution for sigma_u. In the simplest form of the estimator for sigma_u, it is formed as [mean total square] - [mean within square], so substraction of two non-negative quantities gave you a negative quantity (which was truncated upwards to zero). More elaborate estimators exist that guarantee both within and between sigmas to be positive, but for a vast majority of situations, the simple one should do just fine, so that's what -xtreg, re- does. On Mon, Aug 29, 2011 at 1:45 PM, Lloyd Dumont <lloyddumont@yahoo.com> wrote: > 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/ > -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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/

**Follow-Ups**:**Re: st: sigma_u = 0 in xtreg, re***From:*John Antonakis <John.Antonakis@unil.ch>

**References**:**st: sigma_u = 0 in xtreg, re***From:*Lloyd Dumont <lloyddumont@yahoo.com>

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