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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) ------------------------------------------------------------------------------ -- View this message in context: http://statalist.1588530.n2.nabble.com/Random-effect-model-same-as-OLS-in-dynamic-model-tp7416331p7416331.html Sent from the Statalist mailing list archive at Nabble.com. * * 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/

**Follow-Ups**:**st: RE: Random effect model same as OLS in dynamic model***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**st: Sample bias in ASCLOGIT?***From:*Simon Falck <simon.falck@abe.kth.se>

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