Mark,
Wonderful - I think you're right, and I'll also look for the earlier explanation
on Statalist. Thanks so much for your help!
- Amber
On Tue, 24 Feb 2004 17:13:11 +0000, "Mark Schaffer" wrote:
> Amber,
>
> The most likely explanation is that the estimates of the two sigmas
> are such that the esitmate of one of them (sigma_u) is <0. This can
> happen in finite samples.
>
> If you use the -sa- option, you'll get a different set of estimates
> of the sigmas, and the estimated sigma_u might well be >0.
>
> I am pretty sure there was a nice explanation of this by someone on
> Statalist about a year ago, but I can't remember the data or who it
> was. A trawl through the Statalist archives might turn up something.
>
> --Mark
>
> Date sent: Tue, 24 Feb 2004 11:14:03 -0500 (EST)
> To: [email protected]
> Subject: Re: st: sigma u listed as zero despite unit variance
> From: "Amber E. Boydstun" <[email protected]>
> Send reply to: [email protected]
>
> > 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
> > -------------+------------------------------ Adj R-squared =
> > 0.0448
> > 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
> > > 44-131-451-3485 CERT administrator
> > > http://www.som.hw.ac.uk/cert
> > > *
> > > * 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/
> > >
> > >
> >
> > 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
> 44-131-451-3485 CERT administrator
> http://www.som.hw.ac.uk/cert
> *
> * 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/
>
>
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/
