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st: FW: Xtivreg and Chi-Square
Hi,
I am using the command xtivreg, I have an unbalanced panel and am using
fixed effects. My question is regarding the overall goodness of fit of
the regressors. STATA reports a Wald Chi Square statistic of 434634.68.
However, when I use the test command to test the hypothesis that all of
the coefficients (except the firm dummies) are equal to zero I get a
much more reasonable statistic. I get a value of 7236.41. Also, I've
been able to replicate this number, while I am completely unable to
replicate the number reported right after the iv regression command. I
wonder if anyone could tell me the reason for this discrepancy. I have
included the respective outputs below.
Thank you in advance for your help,
Sandra
. xtivreg leveragemvf1 (turnover=turnoveri) drating mb eta depa irdd
randda logsizebd ret pgy2d cpspread , fe i(permno);
Fixed-effects (within) IV regression Number of obs =
45945
Group variable: permno Number of groups =
8026
R-sq: within = 0.1595 Obs per group: min =
1
between = 0.1716 avg =
5.7
overall = 0.1762 max =
19
Wald chi2(11) =
434634.68
corr(u_i, Xb) = -0.1251 Prob > chi2 =
0.0000
------------------------------------------------------------------------
------
leveragemvf1 | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------
------
turnover | -2.320024 .2632847 -8.81 0.000 -2.836052
-1.803995
drating | 2.152626 .2693379 7.99 0.000 1.624733
2.680519
mb | -2.011589 .1087904 -18.49 0.000 -2.224814
-1.798363
eta | -3.368408 .1067333 -31.56 0.000 -3.577602
-3.159215
depa | .6071639 .1246147 4.87 0.000 .3629235
.8514043
irdd | -.8173588 .4365988 -1.87 0.061 -1.673077
.0383591
randda | -.8690489 .149891 -5.80 0.000 -1.16283
-.575268
logsizebd | 10.25134 .2971439 34.50 0.000 9.668953
10.83374
ret | -.3286456 .0161068 -20.40 0.000 -.3602144
-.2970768
pgy2d | -4.800349 .2518534 -19.06 0.000 -5.293973
-4.306726
cpspread | 7.88824 .2836412 27.81 0.000 7.332313
8.444166
_cons | 32.36606 .278241 116.32 0.000 31.82072
32.91141
-------------+----------------------------------------------------------
------
sigma_u | 20.522888
sigma_e | 11.67359
rho | .75554783 (fraction of variance due to u_i)
------------------------------------------------------------------------
------
F test that all u_i=0: F(8025,37908) = 10.23 Prob > F =
0.0000
------------------------------------------------------------------------
------
. test turnover drating mb eta depa irdd randda logsizebd ret pgy2d
cpspread;
( 1) turnover = 0
( 2) drating = 0
( 3) mb = 0
( 4) eta = 0
( 5) depa = 0
( 6) irdd = 0
( 7) randda = 0
( 8) logsizebd = 0
( 9) ret = 0
(10) pgy2d = 0
(11) cpspread = 0
chi2( 11) = 7236.41
Prob > chi2 = 0.0000
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