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From |
"Alfonso Miranda Caso Luengo" <[email protected]> |

To |
<[email protected]> |

Subject |
Re: st: sigma u listed as zero despite unit variance |

Date |
Tue, 24 Feb 2004 15:52:42 +0000 |

I guess sigma_u = log(sigma). In many cases Stata estimates a function of an auxiliary parameter instead of the parameter itself. This thick helps to keep estimates whithin a set of admissible values and ease ML maximisation. In any case, you could always recover the value of the parameter in the original scale applying the inverse function. Standard errors may be obtained using the delta method. =========================================== Alfonso Miranda PhD Student Economics Department University of Warwick Coventry CV4 7AL E-mail: [email protected] =========================================== >>> [email protected] 02/24/04 15:39 PM >>> I'm very confused about why the sigma_u listed in the output from a random effects model reports a value of zero, despite the fact that I have unit variance in my dataset (I promise). I'm attaching the output below. Could someone please tell me what this means? Thanks! xtreg dppct educpct repubpct fundpct whitepct, re; Random-effects GLS regression Number of obs = 220 Group variable (i) : cohort Number of groups = 10 R-sq: within = 0.0577 Obs per group: min = 22 between = 0.6344 avg = 22.0 overall = 0.0622 max = 22 Random effects u_i ~ Gaussian Wald chi2(4) = 14.27 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0065 ------------------------------------------------------------------------------ dppct | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- educpct | .0596706 .0526787 1.13 0.257 -.0435777 .1629189 repubpct | .2223392 .1046384 2.12 0.034 .0172516 .4274267 fundpct | .2698267 .1397987 1.93 0.054 -.0041737 .543827 whitepct | .2623254 .1236531 2.12 0.034 .0199697 .5046811 _cons | .2656249 .1358642 1.96 0.051 -.000664 .5319138 -------------+---------------------------------------------------------------- sigma_u | 0 sigma_e | .09882399 rho | 0 (fraction of variance due to u_i) ------------------------------------------------------------------------------ Amber E. Boydstun Graduate Student Department of Political Science Penn State University University Park, PA 16802-6200 [email protected] * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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