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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: xtoverid' command and 'sigma_u=0 |

Date |
Wed, 28 Mar 2012 23:25:28 +0100 |

Demetrios, This comes up on Statalist from time to time, e.g.: http://www.stata.com/statalist/archive/2002-12/msg00106.html http://www.stata.com/statalist/archive/2011-08/msg01389.html --Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of D. > Demetriou > Sent: 28 March 2012 16:57 > To: statalist@hsphsun2.harvard.edu > Subject: st: xtoverid' command and 'sigma_u=0 > > 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) > -------------------------------------------------------------- > ---------------- > > * > * 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/ > -- Heriot-Watt University is the Sunday Times Scottish University of the Year 2011-2012 We invite research leaders and ambitious early career researchers to join us in leading and driving research in key inter-disciplinary themes. Please see http://www.hw.ac.uk/researchleaders for further information and how to apply. Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * 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/

**References**:**st: xtoverid' command and 'sigma_u=0***From:*"D. Demetriou" <dd358@cam.ac.uk>

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