It is the standard deviation of v_i + e_it.
See [XT], page 412.
Scott
2009/6/15 Christoph Birkel <[email protected]>:
> Dear all,
>
> after running -xtreg, fe- , a scalar named e(sigma) is saved. I wonder what
> it contains exactly. In the Longitudinal/Panel Data Manual Release 10,
> e(sigma) is decribed as „ancillary parameter (gamma, lnormal)“ (the
> help-file for xtreg postestimation contains the same description); but what
> kind of ancillary parameter is this, and for which purpose might it be
> useful?
>
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