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st: sigma_u = 0 in xtreg, re
From
Lloyd Dumont <[email protected]>
To
[email protected]
Subject
st: sigma_u = 0 in xtreg, re
Date
Mon, 29 Aug 2011 11:45:52 -0700 (PDT)
Hello, Statalist.
I am a little confused by the output from an -xtreg, re- estimate.
Basically, I end up with sigma_u = 0, which of course yields rho = 0. That seems very odd to me. I would guess that that should only happen if there is no between-subject variation. But, (I think) I can tell from examining the data that that is not the case.
I have tried to create a mini example… First, I will show the xtreg results. Then, I will show you what I think is the evidence that there really IS some between-subject variation.
Am I missing something obvious here? Thank you for your help and suggestions. Lloyd Dumont
. xtreg Y X, re
Random-effects GLS regression Number of obs = 3133
Group variable: ID Number of groups = 31
R-sq: within = 0.4333 Obs per group: min = 1
between = 0.8278 avg = 101.1
overall = 0.4579 max = 124
Wald chi2(1) = 2644.38
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
------------------------------------------------------------------------------
Y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
X | -.0179105 .0003483 -51.42 0.000 -.0185932 -.0172279
_cons | 1.004496 .0017687 567.92 0.000 1.001029 1.007963
-------------+----------------------------------------------------------------
sigma_u | 0
sigma_e | .07457648
rho | 0 (fraction of variance due to u_i)
------------------------------------------------------------------------------
. xtsum X
Variable | Mean Std. Dev. Min Max | Observations
-----------------+--------------------------------------------+----------------
X overall | 3.277883 3.875116 0 42.5 | N = 3137
between | 1.286754 0 6.890338 | n = 31
within | 3.729614 -3.612455 42.24883 | T-bar = 101.194
. xtsum Y
Variable | Mean Std. Dev. Min Max | Observations
-----------------+--------------------------------------------+----------------
Y overall | .9457124 .1025887 0 1 | N = 3133
between | .0315032 .8387879 1 | n = 31
within | .0985757 -.0235858 1.106925 | T-bar = 101.065
.
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