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Re: st: sigma_e sigma_u
From
[email protected]
To
[email protected]
Subject
Re: st: sigma_e sigma_u
Date
Fri, 14 Oct 2011 00:14:29 -0700
Hi Maarten
Thank you for your response.
I was trying to reproduce -xtreg y x, fe- output using other Stata
commands. While I obtained most of them using -reg- and -areg-, but not
the sigma_e and sigma_u.
The fixed effects model is fitted by OSL method, I think.
What I would like to know is how can I evaluate the sigma_e and sigma_u
values.
Thanks again.
N.
On Wednesday, October 12, 2011 9:17 AM, "Maarten Buis"
<[email protected]> wrote:
> On Wed, Oct 12, 2011 at 6:07 AM, ningli wrote:
> > What exactly Stata commands are used to produce the sigma_e and sigma_u
> > in xtreg?
>
> I am not sure what you are looking for:
>
> - Do you want to get access to the estimates of sigma_e and sigma_u
> after you have estimated your model with -xtreg-?
> The answer is discussed in: M.L. Buis (2011) "Stata tip 97: Getting at
> rhos and sigmas", The Stata Journal, 11(2), pp. 315-317.
>
> - Do you want to know how Stata estimated these coefficients?
> The answer is maximum likelihood
>
> Hope this helps,
> Maarten
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
>
> http://www.maartenbuis.nl
> --------------------------
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