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st: What distribution are the coefs of Random-effects GLS regression ?


From   ronggui <ronggui.huang@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: What distribution are the coefs of Random-effects GLS regression ?
Date   Thu, 9 Mar 2006 23:40:37 +0800

. xtreg  lscrap d88 d89 grant grant_1,re i(fcode)

Random-effects GLS regression                   Number of obs      =       162
Group variable (i): fcode                       Number of groups   =        54

R-sq:  within  = 0.2005                         Obs per group: min =         3
       between = 0.0078                                        avg =       3.0
       overall = 0.0079                                        max =         3

Random effects u_i ~ Gaussian                   Wald chi2(4)       =     25.32
corr(u_i, X)       = 0 (assumed)                Prob > chi2        =    0.0000

------------------------------------------------------------------------------
      lscrap |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
         d88 |  -.0935437    .108975    -0.86   0.391    -.3071308    .1200434
         d89 |  -.2713576   .1314505    -2.06   0.039    -.5289959   -.0137194
       grant |  -.2144353   .1475938    -1.45   0.146    -.5037139    .0748433
     grant_1 |  -.3728755   .2050742    -1.82   0.069    -.7748136    .0290626
       _cons |   .5974341   .2032854     2.94   0.003      .199002    .9958661
-------------+----------------------------------------------------------------
     sigma_u |  1.4082313
     sigma_e |  .49774421
         rho |  .88894472   (fraction of variance due to u_i)
------------------------------------------------------------------------------

I thought it was T-distribution, but I can't get the exact result with
the output.
for example, the coef of grant.
. dis ttail(157,1.45)*2
.14905327

Thank you!

--
ٹ
Deparment of Sociology
Fudan University

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