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From |
John Antonakis <John.Antonakis@unil.ch> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Tue, 30 Aug 2011 08:18:51 +0200 |

Best, J. __________________________________________ Prof. John Antonakis Faculty of Business and Economics Department of Organizational Behavior University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 http://www.hec.unil.ch/people/jantonakis Associate Editor The Leadership Quarterly __________________________________________ On 30.08.2011 00:05, Schaffer, Mark E wrote:

I think it's true in finite samples as well. At least, that's how I read what Baltagi has to say about it in chap 2 of his textbook ("Econometric Analysis of Panel Data" - it's in the section on the random effects model). --Mark-----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Stas Kolenikov Sent: 29 August 2011 22:26 To: statalist@hsphsun2.harvard.edu Subject: Re: st: sigma_u = 0 in xtreg, re John, certainly so asymptotically when the true sigma_u = 0. Whether that is exactly true in finite samples, I don't know, although at the face of it, it looks reasonable: set seed 1234 set obs 100 gen id = _n gen ni = rpoisson(5) + 1 expand ni gen x = uniform() gen y = x + rnormal() xtreg y x, i(id) reg y x On Mon, Aug 29, 2011 at 4:14 PM, John Antonakis <John.Antonakis@unil.ch> wrote:One clarification; when rho = 0 aren't these estimatessimply OLS estimates?Best, J. __________________________________________ Prof. John Antonakis Faculty of Business and Economics Department of Organizational Behavior University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 http://www.hec.unil.ch/people/jantonakis Associate Editor The Leadership Quarterly __________________________________________ On 29.08.2011 22:50, Stas Kolenikov wrote:Note that you have a very decent R^2, especially thebetween one. Itlooks, 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 indeedis littleleft that needs explaining. -xtsum- is somewhat misleadinghere, asthis is a marginal measure, not a conditional one (which is what matters for the regression). Technically speaking, you are hitting a corner solutionfor 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 justfine, sothat's what -xtreg, re- does. On Mon, Aug 29, 2011 at 1:45 PM, LloydDumont<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 courseyields rho = 0.That seems very odd to me. I would guess that that should only happen if there is no between-subject variation. But, (Ithink) Ican tell from examining the data that that is not the case. I have tried to create a mini example... First, I willshow the xtregresults. 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 ofobs =3133 Group variable: ID Number ofgroups =31 R-sq: within = 0.4333 Obs pergroup: min =1 between = 0.8278avg =101.1 overall = 0.4579max =124 Waldchi2(1) =2644.38corr(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 042.5 |N = 3137 between | 1.286754 06.890338 | n= 31 within | 3.729614 -3.61245542.24883 | T-bar= 101.194 . xtsum Y Variable | Mean Std. Dev. Min Max | Observations-----------------+--------------------------------------------+----- -----------------+--------------------------------------------+----- -----------------+--------------------------------------------+----------------------+--------------------------------------------+- Y overall | .9457124 .1025887 01 |N = 3133 between | .0315032 .83878791 | n= 31 within | .0985757 -.02358581.106925 | 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/* * 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/

* * 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:*Lloyd Dumont <lloyddumont@yahoo.com>

**st: confa with R2>1***From:*<Sorada.Tapsuwan@csiro.au>

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

**Re: st: sigma_u = 0 in xtreg, re***From:*Stas Kolenikov <skolenik@gmail.com>

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

**Re: st: sigma_u = 0 in xtreg, re***From:*Stas Kolenikov <skolenik@gmail.com>

**RE: st: sigma_u = 0 in xtreg, re***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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