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Re: st: sigma_u = 0 in xtreg, re
From
Stas Kolenikov <[email protected]>
To
[email protected]
Subject
Re: st: sigma_u = 0 in xtreg, re
Date
Mon, 29 Aug 2011 15:50:11 -0500
Note that you have a very decent R^2, especially the between one. It
looks, hence, that all of the bewteen-panel variability in Y is
explained by the between-panel variability in X's (the ICC's were
quite similar for each of the variables), so there indeed is little
left that needs explaining. -xtsum- is somewhat misleading here, as
this is a marginal measure, not a conditional one (which is what
matters for the regression).
Technically speaking, you are hitting a corner solution for sigma_u.
In the simplest form of the estimator for sigma_u, it is formed as
[mean total square] - [mean within square], so substraction of two
non-negative quantities gave you a negative quantity (which was
truncated upwards to zero). More elaborate estimators exist that
guarantee both within and between sigmas to be positive, but for a
vast majority of situations, the simple one should do just fine, so
that's what -xtreg, re- does.
On Mon, Aug 29, 2011 at 1:45 PM, Lloyd Dumont <[email protected]> wrote:
> Hello, Statalist.
>
> I am a little confused by the output from an -xtreg, re- estimate.
>
> Basically, I end up with sigma_u = 0, which of course yields rho = 0. That seems very odd to me. I would guess that that should only happen if there is no between-subject variation. But, (I think) I can tell from examining the data that that is not the case.
>
> I have tried to create a mini example… First, I will show the xtreg results. Then, I will show you what I think is the evidence that there really IS some between-subject variation.
>
> Am I missing something obvious here? Thank you for your help and suggestions. Lloyd Dumont
>
>
> . xtreg Y X, re
>
> Random-effects GLS regression Number of obs = 3133
> Group variable: ID Number of groups = 31
>
> R-sq: within = 0.4333 Obs per group: min = 1
> between = 0.8278 avg = 101.1
> overall = 0.4579 max = 124
>
> Wald chi2(1) = 2644.38
> corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
>
> ------------------------------------------------------------------------------
> Y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> -------------+----------------------------------------------------------------
> X | -.0179105 .0003483 -51.42 0.000 -.0185932 -.0172279
> _cons | 1.004496 .0017687 567.92 0.000 1.001029 1.007963
> -------------+----------------------------------------------------------------
> sigma_u | 0
> sigma_e | .07457648
> rho | 0 (fraction of variance due to u_i)
> ------------------------------------------------------------------------------
>
>
>
>
> . xtsum X
>
> Variable | Mean Std. Dev. Min Max | Observations
> -----------------+--------------------------------------------+----------------
> X overall | 3.277883 3.875116 0 42.5 | N = 3137
> between | 1.286754 0 6.890338 | n = 31
> within | 3.729614 -3.612455 42.24883 | T-bar = 101.194
>
>
>
> . xtsum Y
>
> Variable | Mean Std. Dev. Min Max | Observations
> -----------------+--------------------------------------------+----------------
> Y overall | .9457124 .1025887 0 1 | N = 3133
> between | .0315032 .8387879 1 | n = 31
> within | .0985757 -.0235858 1.106925 | T-bar = 101.065
>
> .
>
>
> *
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>
--
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.
*
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