thanks. Here's the result of the xtdes command:
. xtdes
number: 1, 2, ..., 67 n = 67
year: 1995, 1996, ..., 2004 T = 10
Delta(year) = 1 unit
Span(year) = 10 periods
(number*year uniquely identifies each observation)
Distribution of T_i: min 5% 25% 50% 75% 95% max
10 10 10 10 10 10 10
Freq. Percent Cum. | Pattern
---------------------------+------------
67 100.00 100.00 | 1111111111
---------------------------+------------
67 100.00 | XXXXXXXXXX
.
end of do-file
and here's the command line of the xtreg command:
xtreg AverChangeROEadj2 duration_change sicchange ukdum frendum lgcount_strategy mutdum lloylistdum lloynlistdum, re
(FYI- sicchange ukdum frendum lgcount_strategy mutdum lloylistdum lloynlistdum are all control dummies)
Pat
----- Ursprüngliche Mail ----
Von: "Villa Lora, Juan Miguel" <[email protected]>
An: [email protected]
Gesendet: Mittwoch, den 20. Mai 2009, 14:02:56 Uhr
Betreff: st: RE: random effects panel model - interpretation of rho=0
I would need further information. Please copy the result of the execution of the command xtdes and the command line of the regress..., re
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of P K
Sent: Miércoles, 20 de Mayo de 2009 01:52 p.m.
To: [email protected]
Subject: st: random effects panel model - interpretation of rho=0
Hi,
I run a random effects panel model of 64 subjects for 10 years each and have a question concerning the results: My output tells me that 0% of the variance of the dependent variable is between subjects and 100% is within subjects (rho).
I am not sure whether I understand the interpretation correctly, but I find this result a bit uncommon given that I test for a random effects model and my theory predicts a lot of variation between my subjects.
Could there by any mistake in the analysis?
Thanks,
Pat
Here's the STATA output:
Random-effects GLS regression Number of obs = 545
Group variable: number Number of groups = 64
R-sq: within = 0.0138 Obs per group: min = 2
between = 0.1741 avg = 8.5
overall = 0.0168 max = 10
Random effects u_i ~ Gaussian Wald chi2(7) = 9.16
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.2416
------------------------------------------------------------------------------
AverCh~2adj2 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------
-------------+------
duration_c~e | -.9013214 .3550697 -2.54 0.011 -1.597245 -.2053976
sicchange | 2.527742 4.073774 0.62 0.535 -5.456709 10.51219
ukdum | .5491039 1.126746 0.49 0.626 -1.659277 2.757485
frendum | -1.780095 1.522111 -1.17 0.242 -4.763378 1.203189
regnlistdum | -.6389011 1.09439 -0.58 0.559 -2.783865 1.506063
mutdum | .9720512 1.790017 0.54 0.587 -2.536318 4.48042
lgcount_st~y | -.2016355 .6181168 -0.33 0.744 -1.413122 1.009851
_cons | 1.249498 1.361879 0.92 0.359 -1.419735 3.918731
-------------+----------------------------------------------------------
-------------+------
sigma_u | 0
sigma_e | 11.774903
rho | 0 (fraction of variance due to u_i)
------------------------------------------------------------------------------
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