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]

Re: st: sigma_u = 0 in xtreg, re


From   Lloyd Dumont <lloyddumont@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: sigma_u = 0 in xtreg, re
Date   Wed, 31 Aug 2011 09:04:51 -0700 (PDT)

Thank you all very, very much for pondering this for me.  You have been extremely helpful.  Lloyd

----- Original Message -----
From: John Antonakis <John.Antonakis@unil.ch>
To: statalist@hsphsun2.harvard.edu
Cc: 
Sent: Tuesday, August 30, 2011 2:18 AM
Subject: Re: st: sigma_u = 0 in xtreg, re

OK. Thus, Lloyed might as well use pooled OLS with cluster robust 
standard errors, right?

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 estimates
>> simply 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 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/
>>>>>
>>>>
>>> *
>>> *  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?searchhttp://www.stata.com/support/statalist/faqhttp://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/


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