RE: st: RE: random effects panel model - interpretation of rho=0

["Villa Lora, Juan Miguel" <JUANMIGUELV@Contractual.iadb.org>]

Perhaps there's a problem with the specification of your equation regarding to the dummies variables: the variance of the estimation could be affected by a possible collinearity between dummies and the constant term as it's std. err is quite high. For bearing out this: What it happens to 'rho' if you include the dummies one by one (multi-stage)? 

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of P K
Sent: Miércoles, 20 de Mayo de 2009 04:13 p.m.
To: statalist@hsphsun2.harvard.edu
Subject: AW: st: RE: random effects panel model - interpretation of rho=0

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" <JUANMIGUELV@Contractual.iadb.org>
An: statalist@hsphsun2.harvard.edu
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: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of P K
Sent: Miércoles, 20 de Mayo de 2009 01:52 p.m.
To: statalist@hsphsun2.harvard.edu
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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