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st: xtoverid' command and 'sigma_u=0


From   "D. Demetriou" <dd358@cam.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtoverid' command and 'sigma_u=0
Date   28 Mar 2012 16:57:12 +0100

Hi everyone,

I am basically trying to use the 'xtoverid' command after performing an ' xi: xtreg, re vce(cluster) ' regression on panel data.

The problem here is that sigma_u (and hence rho subsequently) equals to zero (sigma_u = 0). Why might be I getting this?? The interesting thing here is that when I add a 'time dummy' (equals 1 for each period except the reference period) sigma_u is no longer zero.

Sigma_u=0 disables the 'xtoverid' command which I need to decide on FE Vs RE.

Here is the estimation table:


Random-effects GLS regression Number of obs = 90 Group variable: region Number of groups = 9

R-sq: within = 0.7575 Obs per group: min = 10
      between = 0.4357 avg = 10.0
      overall = 0.7426 max = 10

Wald chi2(5) = 493.00 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

(Std. Err. adjusted for 9 clusters in region) ------------------------------------------------------------------------------ | Robust publicprov1 | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+----------------------------------------------------------------
 hownership | -.0731302 .0143642 -5.09 0.000 -.1012835 -.0449769
    incvars | -.1222154 .0138148 -8.85 0.000 -.1492918 -.095139
 popabove60 | -.0387703 .0197494 -1.96 0.050 -.0774783 -.0000622
        ILO | -.2344766 .0418934 -5.60 0.000 -.3165863 -.152367
       wave | -.0623215 .0242992 -2.56 0.010 -.109947 -.0146959
_cons | 30.88966 1.00746 30.66 0.000 28.91508 32.86425 -------------+----------------------------------------------------------------
    sigma_u |          0
    sigma_e |  .29067783
rho | 0 (fraction of variance due to u_i) ------------------------------------------------------------------------------

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