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st: e(rmse) for xtreg, re ?


From   matif1@yahoo.com
To   statalist@hsphsun2.harvard.edu
Subject   st: e(rmse) for xtreg, re ?
Date   Thu, 6 Sep 2012 07:10:21 -0700 (PDT)

Dear Stata users,


I'd like to learn how Stata calculates the root mean square error (e(rmse))
after fitting a simple linear random-effects model (xtreg, re)...can anyone
shed some light for me?

Specifically,
(1) does the RMSE reported by Stata include all random-components, i.e. u_i
and e_it,  or simply e_it?
(2) model degree of freedom:  how is the model degree of freedom defined in the calculation? Does Stata take into account the number
of clusters, in addition to the number of parameters in the slope of the linear model? One previous post has touched this issue but it didn't talk about random-effects model (http://www.stata.com/statalist/archive/2010-03/msg00941.html ) ?


I checked the manual (
http://www.stata.com/features/panel-data/xtreg.pdf)..it only describes how
rmse is defined for be and fe options, but not re. I also checked xtreg.ado
(http://www.stata.com/updates/ado/xtreg.ado) but cannot see how e(rmse) is
defined there.

Thanks very much,

Tin Lin
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