One definition of Rho (I am not sure if Stata uses this definition) is :
(MSb - MSw)/((MSb + (k-1)*MSw))
Where, k is the average group size; MS=mean square; b=between; w=within.
So, a rho of zero is telling you that that the variablilty within
clusters is large relative to between; thus, your xtreg estimates are
convering to OLS estimates.
What does -xttest0- tell you? Having random effects means that the
intercept varies between subjects.
Also, when you run in OLS (with cluster robust SEs) are your estimates
different from the xtreg estimator (they should not be)?
Best,
J.
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On 20.05.2009 19:52, P K wrote:
Hi,
I run a random effects panel model of 64 subjects for 10 years each and have a question concerning the results: My output tells me that
0% of the variance of the dependent variable is between subjects and 100% is within subjects (rho).
I am not sure whether I understand the interpretation correctly, but I find this result a bit uncommon given that I test for a random effects model and
my theory predicts a lot of variation between my subjects.
Could there by any mistake in the analysis?
Thanks,
Pat
Here's the STATA output:
Random-effects GLS regression Number of obs = 545
Group variable: number Number of groups = 64
R-sq: within = 0.0138 Obs per group: min = 2
between = 0.1741 avg = 8.5
overall = 0.0168 max = 10
Random effects u_i ~ Gaussian Wald chi2(7) = 9.16
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.2416
------------------------------------------------------------------------------
AverCh~2adj2 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
duration_c~e | -.9013214 .3550697 -2.54 0.011 -1.597245 -.2053976
sicchange | 2.527742 4.073774 0.62 0.535 -5.456709 10.51219
ukdum | .5491039 1.126746 0.49 0.626 -1.659277 2.757485
frendum | -1.780095 1.522111 -1.17 0.242 -4.763378 1.203189
regnlistdum | -.6389011 1.09439 -0.58 0.559 -2.783865 1.506063
mutdum | .9720512 1.790017 0.54 0.587 -2.536318 4.48042
lgcount_st~y | -.2016355 .6181168 -0.33 0.744 -1.413122 1.009851
_cons | 1.249498 1.361879 0.92 0.359 -1.419735 3.918731
-------------+----------------------------------------------------------------
sigma_u | 0
sigma_e | 11.774903
rho | 0 (fraction of variance due to u_i)
------------------------------------------------------------------------------
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