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

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

Subject |
st: RE: Random effect model same as OLS in dynamic model |

Date |
Thu, 29 Mar 2012 11:15:20 +0100 |

Patrick, This question comes up from time to time on Statalist, and in fact the most recent posting was only yesterday: http://www.stata.com/statalist/archive/2012-03/msg01262.html --Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of chihongt > Sent: 29 March 2012 05:41 > To: statalist@hsphsun2.harvard.edu > Subject: st: Random effect model same as OLS in dynamic model > > 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-Ra > ndom-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-sam > e-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/ > -- 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/

**Follow-Ups**:**st: RE: RE: Random effect model same as OLS in dynamic model***From:*Chi-hong Tsai <C.Tsai@econ.usyd.edu.au>

**References**:**st: Random effect model same as OLS in dynamic model***From:*chihongt <c.tsai@econ.usyd.edu.au>

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