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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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```