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Re: st: sigma_e sigma_u

From   Maarten Buis <>
Subject   Re: st: sigma_e sigma_u
Date   Wed, 12 Oct 2011 09:17:19 +0200

On Wed, Oct 12, 2011 at 6:07 AM,  ningli wrote:
> What exactly Stata commands are used to produce the sigma_e and sigma_u
> in xtreg?

I am not sure what you are looking for:

- Do you want to get access to the estimates of sigma_e and sigma_u
after you have estimated your model with -xtreg-?
The answer is discussed in: M.L. Buis (2011) "Stata tip 97: Getting at
rhos and sigmas", The Stata Journal, 11(2), pp. 315-317.

- Do you want to know how Stata estimated these coefficients?
The answer is maximum likelihood

Hope this helps,

Maarten L. Buis
Institut fuer Soziologie
Universitaet Tuebingen
Wilhelmstrasse 36
72074 Tuebingen
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