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st: Random effect model same as OLS in dynamic model


From   chihongt <c.tsai@econ.usyd.edu.au>
To   statalist@hsphsun2.harvard.edu
Subject   st: Random effect model same as OLS in dynamic model
Date   Wed, 28 Mar 2012 21:41:06 -0700 (PDT)

Hi all,

I am running OLS,FE,and RE models on my panel data set.
A strange thing happens when I use RE in the dynamic model (with one lagged
variable).
That is, the sigma_u appears to be zero which means rho=0, and thus the
estimates and s.e. are exactly the same as OLS.
This only happens when I include the lagged variable in the dynamic model
but not in the static model.

And when I use Limdep on the same model with the same data set, RE gives
different results from OLS.

I have had a search on Statalist, for example,
http://statalist.1588530.n2.nabble.com/Same-results-OLS-and-Random-Effects-td5199084.html

but it didn't give a suggestion to deal with this problem.

Below is my RE regression results.

So my two questions are:
(1) Why sigma_u=0 in the RE dynamic model?  (pls don't tell me I should just
use FE or GMM which I have already done. I want to do an exploratory
analysis)

(2) Why Stata and Limdep give different results for the same model and data
set ( even in OLS the estimates are slightly different)?

Anyone has any idea?

Patrick


Random-effects GLS regression                   Number of obs      =      
236
Group variable: group20                         Number of groups   =       
20

R-sq:  within  = 0.1554                         Obs per group: min =       
11
       between = 0.9752                                        avg =     
11.8
       overall = 0.8220                                        max =       
12

                                                Wald chi2(7)       =  
1052.77
corr(u_i, X)   = 0 (assumed)                    Prob > chi2        =   
0.0000

------------------------------------------------------------------------------
      pttrip |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
      pttrip |
         L1. |   .5171986   .0571405     9.05   0.000     .4052053    
.629192
             |
       price |  -.0651085   .0299721    -2.17   0.030    -.1238527  
-.0063643
     pincome |  -1.364764   .7551779    -1.81   0.071    -2.844885   
.1153577
        age1 |  -3.508893   .9180143    -3.82   0.000    -5.308168  
-1.709618
 pdensity_cd |   .0117259   .0053559     2.19   0.029     .0012285   
.0222233
 edensity_tz |   .0012031   .0003378     3.56   0.000      .000541   
.0018652
  walkshare2 |   .0495796    .035056     1.41   0.157    -.0191288    
.118288
       _cons |   .3881918   .0934927     4.15   0.000     .2049494   
.5714342
-------------+----------------------------------------------------------------
     sigma_u |          0
     sigma_e |  .10070681
         rho |          0   (fraction of variance due to u_i)
------------------------------------------------------------------------------


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