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st: xttest0 confusion
From
Humaira Asad <[email protected]>
To
STATA HELP <[email protected]>
Subject
st: xttest0 confusion
Date
Wed, 11 May 2011 18:24:51 +0000
Hi,
I have estimated the folowing model using re vce(cluster country) and then run the BP test which is significant. This means the individual country effects are random. But when I estimate serial scorrelation in the residuals there is serial correlation present. What should I do, it indicates endogeneity in the regressors? If yes why BP test is showing country effects are random? Confused?
xi: xtreg l_gini_u l_gdp_gr l_pcrdbgdp l_ls l_kg l_1_inf legal_or pcrdbgdpls i.year, re vce(cluster cn_
> no)
i.year _Iyear_1965-2010 (naturally coded; _Iyear_1965 omitted)
Random-effects GLS regression Number of obs = 487
Group variable: cn_no Number of groups = 84
R-sq: within = 0.1530 Obs per group: min = 1
between = 0.5219 avg = 5.8
overall = 0.4163 max = 10
Random effects u_i ~ Gaussian Wald chi2(16) = 153.49
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
(Std. Err. adjusted for 84 clusters in cn_no)
------------------------------------------------------------------------------
| Robust
l_gini_u | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
l_gdp_gr | .0057638 .0124442 0.46 0.643 -.0186264 .0301541
l_pcrdbgdp | .3042015 .0936341 3.25 0.001 .1206821 .4877208
l_ls | -.2380501 .0567163 -4.20 0.000 -.3492119 -.1268882
l_kg | -.0429575 .0335356 -1.28 0.200 -.108686 .0227709
l_1_inf | .0226364 .0100428 2.25 0.024 .0029528 .04232
legal_or | -.0846046 .0145304 -5.82 0.000 -.1130836 -.0561256
pcrdbgdpls | -.0937477 .0251026 -3.73 0.000 -.1429478 -.0445475
_Iyear_1970 | -.062607 .0310871 -2.01 0.044 -.1235367 -.0016773
_Iyear_1975 | -.0810071 .044773 -1.81 0.070 -.1687604 .0067463
_Iyear_1980 | -.1041635 .051172 -2.04 0.042 -.2044588 -.0038682
_Iyear_1985 | -.150318 .0520214 -2.89 0.004 -.2522781 -.0483579
_Iyear_1990 | -.120455 .0492264 -2.45 0.014 -.2169369 -.0239731
_Iyear_1995 | -.0623324 .0510912 -1.22 0.222 -.1624692 .0378044
_Iyear_2000 | -.0422021 .05261 -0.80 0.422 -.1453159 .0609117
_Iyear_2005 | -.0487584 .0543264 -0.90 0.369 -.1552362 .0577194
_Iyear_2010 | -.0483711 .0573857 -0.84 0.399 -.1608451 .0641028
_cons | 4.834027 .2165074 22.33 0.000 4.40968 5.258374
-------------+----------------------------------------------------------------
sigma_u | .12337294
sigma_e | .12342285
rho | .49979776 (fraction of variance due to u_i)
------------------------------------------------------------------------------
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
l_gini_u[cn_no,t] = Xb + u[cn_no] + e[cn_no,t]
Estimated results:
| Var sd = sqrt(Var)
---------+-----------------------------
l_gini_u | .0678958 .2605682
e | .0152332 .1234228
u | .0152209 .1233729
Test: Var(u) = 0
chi2(1) = 461.53
Prob > chi2 = 0.0000
Humaira Asad
UoE Business School
University of Exeter, England
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