Amber,
The most likely explanation is that the estimates of the two sigmas
are such that the esitmate of one of them (sigma_u) is <0. This can
happen in finite samples.
If you use the -sa- option, you'll get a different set of estimates
of the sigmas, and the estimated sigma_u might well be >0.
I am pretty sure there was a nice explanation of this by someone on
Statalist about a year ago, but I can't remember the data or who it
was. A trawl through the Statalist archives might turn up something.
--Mark
Date sent: Tue, 24 Feb 2004 11:14:03 -0500 (EST)
To: [email protected]
Subject: Re: st: sigma u listed as zero despite unit variance
From: "Amber E. Boydstun" <[email protected]>
Send reply to: [email protected]
> Hi Mark,
>
> Thanks for your help! You're right that when I run normal OLS I get
> the same results (posted below). Can you tell me, is the reason that
> the random effects estimator has degenerated into the OLS estimator
> that I have such a small range of variance of mean dependent variable
> values across my units (from .6603999 to .6897267)? I guess I just
> thought that this small range would still count as SOME amount of
> random error that would register as a very small sigma_u, but
> something slightly greater than zero. Thanks again.
>
> - Amber
>
>
>
> regress dppct educpct repubpct fundpct whitepct;
>
> Source | SS df MS Number of obs =
> 220
> -------------+------------------------------ F( 4, 215) =
> 3.57
> Model | .134161295 4 .033540324 Prob > F =
> 0.0077
> Residual | 2.02150052 215 .009402328 R-squared =
> 0.0622
> -------------+------------------------------ Adj R-squared =
> 0.0448
> Total | 2.15566182 219 .009843205 Root MSE =
> .09697
>
> ----------------------------------------------------------------------
> --------
> dppct | Coef. Std. Err. t P>|t| [95% Conf.
> Interval]
> -------------+--------------------------------------------------------
> --------
> educpct | .0596706 .0526787 1.13 0.259 -.0441622
> .1635033
> repubpct | .2223392 .1046384 2.12 0.035 .0160906
> .4285877
> fundpct | .2698267 .1397987 1.93 0.055 -.0057248
> .5453781
> whitepct | .2623254 .1236531 2.12 0.035 .0185978
> .506053
> _cons | .2656249 .1358642 1.96 0.052 -.0021714
> .5334213
> ----------------------------------------------------------------------
> --------
>
> On Tue, 24 Feb 2004 15:34:25 +0000, "Mark Schaffer" wrote:
>
> > Amber,
> >
> > I think this means the random effects estimator has degenerated, so
> > to speak, into the OLS estimator. Try running the regression using
> > simple pooled OLS, i.e., using -regress-, and see if the results are
> > the same.
> >
> > --Mark
> >
> > Date sent: Tue, 24 Feb 2004 10:29:44 -0500 (EST)
> > To: [email protected]
> > Subject: st: sigma u listed as zero despite unit variance
> > From: "Amber E. Boydstun" <[email protected]> Send reply
> > to: [email protected]
> >
> > > I'm very confused about why the sigma_u listed in the output from
> > > a random effects model reports a value of zero, despite the fact
> > > that I have unit variance in my dataset (I promise). I'm
> > > attaching the output below. Could someone please tell me what
> > > this means? Thanks!
> > >
> > >
> > >
> > >
> > > xtreg dppct educpct repubpct fundpct whitepct, re;
> > >
> > > Random-effects GLS regression Number of obs
> > > =
> > > 220 Group variable (i) : cohort Number of
> > > groups = 10
> > >
> > > R-sq: within = 0.0577 Obs per group: min
> > > =
> > > 22
> > > between = 0.6344 avg =
> > > 22.0 overall = 0.0622
> > > max =
> > > 22
> > >
> > > Random effects u_i ~ Gaussian Wald chi2(4)
> > > =
> > > 14.27 corr(u_i, X) = 0 (assumed) Prob >
> > > chi2
> > > = 0.0065
> > >
> > > ------------------------------------------------------------------
> > > ---- --------
> > > dppct | Coef. Std. Err. z P>|z| [95%
> > > Conf. Interval]
> > > -------------+----------------------------------------------------
> > > ---- --------
> > > educpct | .0596706 .0526787 1.13 0.257 -.0435777
> > > .1629189
> > > repubpct | .2223392 .1046384 2.12 0.034 .0172516
> > > .4274267
> > > fundpct | .2698267 .1397987 1.93 0.054 -.0041737
> > > .543827
> > > whitepct | .2623254 .1236531 2.12 0.034 .0199697
> > > .5046811
> > > _cons | .2656249 .1358642 1.96 0.051 -.000664
> > > .5319138
> > > -------------+----------------------------------------------------
> > > ---- --------
> > > sigma_u | 0
> > > sigma_e | .09882399
> > > rho | 0 (fraction of variance due to u_i)
> > > ------------------------------------------------------------------
> > > ---- -------- Amber E. Boydstun Graduate Student Department of
> > > Political Science Penn State University University Park, PA
> > > 16802-6200 [email protected] * * For searches and help try: *
> > > http://www.stata.com/support/faqs/res/findit.html *
> > > http://www.stata.com/support/statalist/faq *
> > > http://www.ats.ucla.edu/stat/stata/
> >
> >
> > Prof. Mark E. Schaffer
> > Director
> > Centre for Economic Reform and Transformation
> > Department of Economics
> > School of Management & Languages
> > Heriot-Watt University, Edinburgh EH14 4AS UK
> > 44-131-451-3494 direct
> > 44-131-451-3008 fax
> > 44-131-451-3485 CERT administrator
> > http://www.som.hw.ac.uk/cert
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
> >
>
> Amber E. Boydstun
> Graduate Student
> Department of Political Science
> Penn State University
> University Park, PA 16802-6200
> [email protected]
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
