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RE: st: What distribution are the coefs of Random-effects GLS regression ?
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From |
"Feiveson, Alan H. (JSC-SK311)" <[email protected]> |
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To |
<[email protected]> |
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Subject |
RE: st: What distribution are the coefs of Random-effects GLS regression ? |
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Date |
Thu, 9 Mar 2006 11:48:33 -0600 |
We often make the assumption that these coeficient estimates are
normally distributed with the given standard errors as SD, but this is
only true aymptotically. For a finite number of clusters, almost any
distribution is possible. If the number of clusters is small (say under
50), getting the empirical distribution of the coeffs via bootstrap is
probably a better apporach than assuming normality.
Al Feiveson
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Austin
Nichols
Sent: Thursday, March 09, 2006 9:48 AM
To: [email protected]
Subject: Re: st: What distribution are the coefs of Random-effects GLS
regression ?
The heading on each column of the table of estimates shown in your post
gives the answer: z implies std normal in most settings.
.di 2*(1-norm(abs(-1.45)))
gives an approx. answer, subject to rounding error in z.
. di 2*(1-norm(abs(-.2144353 /.1475938))) would do better, and . di
2*(1-norm(abs(_b[grant]/_se[grant])))
better still, I would guess.
On 3/9/06, ronggui <[email protected]> wrote:
> . xtreg lscrap d88 d89 grant grant_1,re i(fcode)
>
------------------------------------------------------------------------
------
> lscrap | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
> -------------+--------------------------------------------------------
> -------------+--------
> grant | -.2144353 .1475938 -1.45 0.146 -.5037139
.0748433
> I thought it was T-distribution, but I can't get the exact result with
> the output.
> for example, the coef of grant.
> . dis ttail(157,1.45)*2
> .14905327
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