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From |
Lloyd Dumont <lloyddumont@yahoo.com> |

To |
statalist@hsphsun2.harvard.edu |

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 . * * 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/

**Follow-Ups**:**Re: st: sigma_u = 0 in xtreg, re***From:*Stas Kolenikov <skolenik@gmail.com>

**Re: st: sigma_u = 0 in xtreg, re***From:*John Antonakis <John.Antonakis@unil.ch>

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