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st: rho, sigma_u, sigma_e in xtreg
From
"Katherine Packman" <[email protected]>
To
[email protected]
Subject
st: rho, sigma_u, sigma_e in xtreg
Date
Fri, 30 Apr 2010 14:34:12 -0600
I have somewhat of a basic question.
I am running xtreg assuming random effects for 150 observations
(cross-section is 10 and timeseries is 15). I was wondering if anyone
could explain what rho, sigma_u and sigma_e mean. This is an example
of my output:
. xtreg pmor dumcov dumuni dum_cu lnprd prduni
Random-effects GLS regression Number of obs = 150
Group variable: session Number of groups = 10
R-sq: within = 0.2093 Obs per group: min = 15
between = 0.6968 avg = 15.0
overall = 0.3196 max = 15
Random effects u_i ~ Gaussian Wald chi2(5) = 50.32
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------
pmor | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
dumcov | .1254805 .0344025 3.65 0.000 .0580529 .1929082
dumuni | -.0042582 .0392887 -0.11 0.914 -.0812628 .0727463
dum_cu | -.1437736 .0444134 -3.24 0.001 -.2308223 -.0567249
lnprd | -.077336 .0130727 -5.92 0.000 -.102958 -.051714
prduni | .0101917 .002951 3.45 0.001 .0044079 .0159756
_cons | .886512 .0343942 25.78 0.000 .8191005 .9539234
-------------+----------------------------------------------------------------
sigma_u | .02692048
sigma_e | .0829595
rho | .09526924 (fraction of variance due to u_i)
------------------------------------------------------------------------------
Any help would be appreciated.
Cheers
--
Katherine
University of Alberta
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