Hi all,
Sorry to bother you with a very simple question. I just can't figure
out why in my xtreg,fe output is value for sigma_u and the value for
sd. of predicted u is not the same. I'm thinking I must have got lost
with some simple thing. Could anyone give some hint? Thanks in advance!
At the bottom of the result from --xtreg,fe stata reports sigma_u. I'm
thinking it means the standard deviation of u(fixed effect). Please
correct me if I'm wrong here. Then, I use --predict u,u to get variable
u. But the standard deviation of u is not the same as sigma_u. I think
either I misunderstand sigma_u's meaning or predicted u's meaning. Any
comments is highly appreciated.
Thanks!
Man Jia
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