Thursday, March 09, 2006

st: What distribution are the coefs of Random-effects GLS regression ?

. xtreg lscrap d88 d89 grant grant_1,re i(fcode)

Random-effects GLS regression Number of obs = 162 Group variable (i): fcode Number of groups = 54

R-sq: within = 0.2005 Obs per group: min = 3 between = 0.0078 avg = 3.0 overall = 0.0079 max = 3

Random effects u_i ~ Gaussian Wald chi2(4) = 25.32 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

------------------------------------------------------------------------------ lscrap | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- d88 | -.0935437 .108975 -0.86 0.391 -.3071308 .1200434 d89 | -.2713576 .1314505 -2.06 0.039 -.5289959 -.0137194 grant | -.2144353 .1475938 -1.45 0.146 -.5037139 .0748433 grant_1 | -.3728755 .2050742 -1.82 0.069 -.7748136 .0290626 _cons | .5974341 .2032854 2.94 0.003 .199002 .9958661 -------------+---------------------------------------------------------------- sigma_u | 1.4082313 sigma_e | .49774421 rho | .88894472 (fraction of variance due to u_i) ------------------------------------------------------------------------------

I thought it was T-distribution, but I can't get the exact result with the output. for example, the coef of grant. . dis ttail(157,1.45)*2 .14905327

Thank you!

-- 黄荣贵 Deparment of Sociology Fudan University

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