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
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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
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*
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