Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

re: st: Question about options in "xtreg, re"


From   Kit Baum <[email protected]>
To   [email protected]
Subject   re: st: Question about options in "xtreg, re"
Date   Wed, 26 Nov 2008 15:48:32 -0500

< >	
Maarten said

> And I am running a xtreg, re. I need to suppress the intercept.
> However Stata 10 doesn't allow this option. Is there a rationale for
> this ?

I always think of random effects a way of estimating for each group a
separate intercept in terms of a deviation from the intercept reported
in the main table by -xtreg, re-. (These intercepts aren't estimated
directly, but are represented as a distribution.) Given this way of
thinking about a random effects model, I would be very reluctant to
suppress the intercept.


The REs are random variables drawn from a distribution with a mean of zero. If the intercept was suppressed, the mean would not necessarily be zero, just as in OLS without a constant term, where the constraint that the residuals sum to zero reflects the presence of the intercept in the model.

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index