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Re: st: sigma_e sigma_u


From   ningli_yang@fastmail.fm
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: sigma_e sigma_u
Date   Fri, 14 Oct 2011 00:14:29 -0700

Hi Maarten

Thank you for your response.

I was trying to reproduce -xtreg y x, fe- output using other Stata
commands. While I obtained most of them using -reg- and -areg-, but not
the sigma_e and sigma_u.

The fixed effects model is fitted by OSL method, I think.

What I would like to know is how can I evaluate the sigma_e and sigma_u
values.

Thanks again.

N.


On Wednesday, October 12, 2011 9:17 AM, "Maarten Buis"
<maartenlbuis@gmail.com> wrote:
> 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
> 
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
> 
> 
> http://www.maartenbuis.nl
> --------------------------
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