RE: st: xtreg with and without the mle command

["ALICE DOBSON" <alice_dobson@hotmail.com>]

I have been using xtreg, re and xtreg,fe for some time now without actually 
knowing the importance of  sigma_u, sigma_e, and rho. Could anybody be kind 
enough to throw some light on the importance of these values?
Best, Alice



> From: "Fouskakis Dimitris" <fouskakis@math.ntua.gr>
> Reply-To: statalist@hsphsun2.harvard.edu
> To: <statalist@hsphsun2.harvard.edu>
> Subject: st: xtreg with and without the mle command
> Date: Thu, 3 Nov 2005 14:28:38 +0200
>
> Dear Statalist,
>
> I am facing the following problem concerning the command xtreg with and
> without mle.
> I have a dataset of 103 kids, that they belong to two different groups
> (pre-term, full-term) and we measure a kind of suppression in both ears. I
> want to see weather or not the group variable is a risk factor of
> suppression.
> After I reshape my data I run the xtreg command and I give you the two
> different results, with and without the mle command at the end of the 
> email.
>
> As you can see from the output with the mle command the sigma_u is almost
> zero, thus the estimates are almost like the OLS. Any idea why this is
> happening? Shall I report the results without the mle? Does this mean that 
> I
> dont have random effects, and I should run the xtgee command instead and
> report these results?
>
> Thanks for your help.
>
> Dimitris
>
> ============================================================================
> ==============================
>
> . xtreg supp  ear group, i(kid)
>
> Random-effects GLS regression                   Number of obs      =
> 184
> Group variable (i): kid                         Number of groups   =
> 103
>
> R-sq:  within  = 0.0430                         Obs per group: min =
> 1
>        between = 0.1318                                        avg =
> 1.8
>        overall = 0.0834                                        max =
> 2
>
> Random effects u_i ~ Gaussian                   Wald chi2(2)       =
> 16.24
> corr(u_i, X)       = 0 (assumed)                Prob > chi2        =
> 0.0003
>
> ----------------------------------------------------------------------------
> --
>         supp |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
> Interval]
> -------------+--------------------------------------------------------------
> --
>          ear |   .1515081   .1097378     1.38   0.167    -.0635741
> .3665903
>        group |   .4414064   .1157561     3.81   0.000     .2145287
> .6682841
>        _cons |   .3400142   .1839055     1.85   0.064    -.0204339
> .7004624
> -------------+--------------------------------------------------------------
> --
>      sigma_u |  .18900564
>      sigma_e |  .74538925
>          rho |  .06041168   (fraction of variance due to u_i)
> ----------------------------------------------------------------------------
> --
>
>
> . xtreg supp  ear group, i(kid) mle
>
> Fitting constant-only model:
> Iteration 0:   log likelihood = -218.05492
> Iteration 1:   log likelihood = -217.81992
> Iteration 2:   log likelihood = -217.81635
> Iteration 3:   log likelihood = -217.81626
> Iteration 4:   log likelihood = -217.81626
> Iteration 5:   log likelihood = -217.81626
>
> Fitting full model:
> Iteration 0:   log likelihood = -209.84604
> Iteration 1:   log likelihood = -209.81413
> Iteration 2:   log likelihood = -209.80715
> Iteration 3:   log likelihood = -209.80605
> Iteration 4:   log likelihood = -209.80601
> Iteration 5:   log likelihood = -209.80601
> Iteration 6:   log likelihood = -209.80601
>
> Random-effects ML regression                    Number of obs      =
> 184
> Group variable (i): kid                         Number of groups   =
> 103
>
> Random effects u_i ~ Gaussian                   Obs per group: min =
> 1
>                                                                avg =
> 1.8
>                                                                max =
> 2
>
>                                                 LR chi2(2)         =
> 16.02
> Log likelihood  = -209.80601                    Prob > chi2        =
> 0.0003
>
> ----------------------------------------------------------------------------
> --
>         supp |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
> Interval]
> -------------+--------------------------------------------------------------
> --
>          ear |   .1472708   .1116638     1.32   0.187    -.0715861
> .3661278
>        group |   .4354625   .1116638     3.90   0.000     .2166055
> .6543195
>        _cons |   .3475279   .1851485     1.88   0.061    -.0153566
> .7104123
> -------------+--------------------------------------------------------------
> --
>     /sigma_u |   3.09e-24   .4801257     0.00   1.000     -.941029
> .941029
>     /sigma_e |   .7567756   .0394497    19.18   0.000     .6794557
> .8340955
> -------------+--------------------------------------------------------------
> --
>          rho |   1.67e-47   5.18e-24                             0
> 1
> ----------------------------------------------------------------------------
> --
> Likelihood-ratio test of sigma_u=0: chibar2(01)=    0.00 Prob>=chibar2 =
> 1.000
> ============================================================================
> ================================
>
>
> ----------------------------------------------------------
> Dr. Dimitris Fouskakis
> Department of Mathematics
> National Technical Univ. of Athens
> Zografou Campus, Athens 15780
> Greece
>
> Tel.: +30 210 772 1702
> Fax:  +30 210 772 1775
> -----------------------------------------------------------
>
>
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