# Re: st: sigma u listed as zero despite unit variance

 From "Amber E. Boydstun" <[email protected]> To [email protected] Subject Re: st: sigma u listed as zero despite unit variance Date Tue, 24 Feb 2004 11:14:03 -0500 (EST)

```Hi Mark,

Thanks for your help!  You're right that when I run normal OLS I get the same
results (posted below).  Can you tell me, is the reason that the random effects
estimator has degenerated into the OLS estimator that I have such a small range
of variance of mean dependent variable values across my units (from .6603999 to
.6897267)?  I guess I just thought that this small range would still count as
SOME amount of random error that would register as a very small sigma_u, but
something slightly greater than zero.  Thanks again.

- Amber

regress dppct educpct repubpct fundpct whitepct;

Source |       SS       df       MS              Number of obs =     220
-------------+------------------------------           F(  4,   215) =    3.57
Model |  .134161295     4  .033540324           Prob > F      =  0.0077
Residual |  2.02150052   215  .009402328           R-squared     =  0.0622
Total |  2.15566182   219  .009843205           Root MSE      =  .09697

------------------------------------------------------------------------------
dppct |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
educpct |   .0596706   .0526787     1.13   0.259    -.0441622    .1635033
repubpct |   .2223392   .1046384     2.12   0.035     .0160906    .4285877
fundpct |   .2698267   .1397987     1.93   0.055    -.0057248    .5453781
whitepct |   .2623254   .1236531     2.12   0.035     .0185978     .506053
_cons |   .2656249   .1358642     1.96   0.052    -.0021714    .5334213
------------------------------------------------------------------------------

On Tue, 24 Feb 2004 15:34:25 +0000, "Mark Schaffer" wrote:

> Amber,
>
> I think this means the random effects estimator has degenerated, so
> to speak, into the OLS estimator.  Try running the regression using
> simple pooled OLS, i.e., using -regress-, and see if the results are
> the same.
>
> --Mark
>
> Date sent:      	Tue, 24 Feb 2004 10:29:44 -0500 (EST)
> To:             	[email protected]
> Subject:        	st: sigma u listed as zero despite unit variance
> From:           	"Amber E. Boydstun" <[email protected]>
> Send reply to:  	[email protected]
>
> > 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/
>
>
> Prof. Mark E. Schaffer
> Director
> Centre for Economic Reform and Transformation
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS  UK
> 44-131-451-3494 direct
> 44-131-451-3008 fax
> http://www.som.hw.ac.uk/cert
> *
> *   For searches and help try:
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>
>

Amber E. Boydstun
Department of Political Science
Penn State University
University Park, PA 16802-6200
[email protected]
*
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```