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st: RE: RE: OLS equivalence for unbalanced panel
From
Silviya Nikolova <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: RE: OLS equivalence for unbalanced panel
Date
Fri, 5 Jul 2013 00:07:33 +0000
Thanks! It works.
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Schaffer, Mark E
Sent: 04 July 2013 19:36
To: [email protected]
Subject: st: RE: OLS equivalence for unbalanced panel
Silviya,
This can happen in finite samples with the 2-step RE estimator. You can try using different methods for estimating the variance components - either the -sa- option (which uses the Swamy-Aurora method) or the -mle- option - to see if it makes a difference.
HTH,
Mark
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Silviya Nikolova
> Sent: 04 July 2013 18:10
> To: [email protected]
> Subject: st: OLS equivalence for unbalanced panel
>
> Dear Statalist,
>
> I am estimating RE model (xtreg) using unbalanced panel dataset.
> Sigma_u for some reason is 0. My dependent variable is discrete with
> large variation. To understand why this is the case, I tried:
> 1. Add some iid normal noise to the data 2. Drop groups with small
> number of observations in them These two approaches do not make a
> difference.
> 3. Reduce the number of variables (after sufficient number of dropped
> variables sigma_u became > 0).
> 4. Expand the data using --expand 2-- command. This generates non-zero
> sigma_u as well.
> Is there any reasonable explanation for all 4 of these? 2 and 3 in
> isolation can be explained easily.
>
> This is a snippet of the output before expand:
>
> . xtreg q2_OHS ISTC q1_OHS ${q1_eq5d_elem_nf} q1_eq5d_health_scale
> ${other_health_nf} ${comorbs_nf} ${pa
> > tients_nf_`severity'} ${provider_nf}, re
>
> Random-effects GLS regression Number of obs =
> 36090 Group variable: procode1 Number of groups
> = 246
>
> R-sq: within = 0.2200 Obs per group: min =
> 1
> between = 0.6405 avg =
> 146.7
> overall = 0.2415 max =
> 1017
>
> Wald chi2(45) =
> 11473.56 corr(u_i, X) = 0 (assumed) Prob > chi2
> = 0.0000
>
>
> ----------------------------------------------------------------------
> ----------------
>
> . . .
>
> ---------------------+------------------------------------------------
> ---------------------+----------------
> sigma_u | 0
> sigma_e | 8.2124003
> rho | 0 (fraction of variance due to u_i)
> ----------------------------------------------------------------------
> ----------------
>
>
>
> And after expand:
>
> . preserve
>
> . expand 2
> (133799 observations created)
>
> . xtset procode1
>
> . xtreg q2_OHS ISTC q1_OHS ${q1_eq5d_elem_nf} q1_eq5d_health_scale
> ${other_health_nf} ${comorbs_nf} ${pa
>
> > tients_nf_`severity'} ${provider_nf}, re
>
> Random-effects GLS regression Number of obs =
> 72180 Group variable: procode1 Number of groups
> = 246
>
> R-sq: within = 0.2200 Obs per group: min =
> 2
> between = 0.6400 avg =
> 293.4
> overall = 0.2409 max =
> 2034
>
> Wald chi2(45) =
> 20798.64 corr(u_i, X) = 0 (assumed) Prob > chi2
> = 0.0000
>
> ----------------------------------------------------------------------
> ----------------
>
> . . .
>
> ---------------------+------------------------------------------------
> ---------------------+----------------
> sigma_u | 1.115697
> sigma_e | 8.1965088
> rho | .01819121 (fraction of variance due to u_i)
> ----------------------------------------------------------------------
> ----------------
>
> . restore
>
>
> Thank you.
>
> Silviya
>
>
> *
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