--------------------------------------------------------------------------------------------- name: Adkins log: H:\Documents and Settings\Lee\My Documents\Document\stata\paneltest.log log type: text opened on: 10 Feb 2010, 15:07:28 . xtreg ln_w grade age c.age#c.age ttl_exp c.ttl_exp#c.ttl_exp tenure c.tenure#c.tenure 2.rac > e not_smsa south, re theta Random-effects GLS regression Number of obs = 28091 Group variable: idcode Number of groups = 4697 R-sq: within = 0.1715 Obs per group: min = 1 between = 0.4784 avg = 6.0 overall = 0.3708 max = 15 Random effects u_i ~ Gaussian Wald chi2(10) = 9244.74 corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000 ------------------- theta -------------------- min 5% median 95% max 0.2520 0.2520 0.5499 0.7016 0.7206 ------------------------------------------------------------------------------ ln_wage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- grade | .0646499 .0017812 36.30 0.000 .0611589 .0681409 age | .0368059 .0031195 11.80 0.000 .0306918 .0429201 | c.age#c.age | -.0007133 .00005 -14.27 0.000 -.0008113 -.0006153 | ttl_exp | .0290208 .002422 11.98 0.000 .0242739 .0337678 | c.ttl_exp#| c.ttl_exp | .0003049 .0001162 2.62 0.009 .000077 .0005327 | tenure | .0392519 .0017554 22.36 0.000 .0358113 .0426925 | c.tenure#| c.tenure | -.0020035 .0001193 -16.80 0.000 -.0022373 -.0017697 | 2.race | -.053053 .0099926 -5.31 0.000 -.0726381 -.0334679 not_smsa | -.1308252 .0071751 -18.23 0.000 -.1448881 -.1167622 south | -.0868922 .0073032 -11.90 0.000 -.1012062 -.0725781 _cons | .2387207 .049469 4.83 0.000 .1417633 .3356781 -------------+---------------------------------------------------------------- sigma_u | .25790526 sigma_e | .29068923 rho | .44045273 (fraction of variance due to u_i) ------------------------------------------------------------------------------ . estimates store random_effects . xttest0 Breusch and Pagan Lagrangian multiplier test for random effects ln_wage[idcode,t] = Xb + u[idcode] + e[idcode,t] Estimated results: | Var sd = sqrt(Var) ---------+----------------------------- ln_wage | .2283326 .4778416 e | .0845002 .2906892 u | .0665151 .2579053 Test: Var(u) = 0 chi2(1) = 14779.98 Prob > chi2 = 0.0000 . xtreg ln_w grade age c.age#c.age ttl_exp c.ttl_exp#c.ttl_exp tenure c.tenure#c.tenure 2.rac > e not_smsa south, fe note: grade omitted because of collinearity note: 2.race omitted because of collinearity Fixed-effects (within) regression Number of obs = 28091 Group variable: idcode Number of groups = 4697 R-sq: within = 0.1727 Obs per group: min = 1 between = 0.3505 avg = 6.0 overall = 0.2625 max = 15 F(8,23386) = 610.12 corr(u_i, Xb) = 0.1936 Prob > F = 0.0000 ------------------------------------------------------------------------------ ln_wage | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- grade | (omitted) age | .0359987 .0033864 10.63 0.000 .0293611 .0426362 | c.age#c.age | -.000723 .0000533 -13.58 0.000 -.0008274 -.0006186 | ttl_exp | .0334668 .0029653 11.29 0.000 .0276545 .039279 | c.ttl_exp#| c.ttl_exp | .0002163 .0001277 1.69 0.090 -.0000341 .0004666 | tenure | .0357539 .0018487 19.34 0.000 .0321303 .0393775 | c.tenure#| c.tenure | -.0019701 .000125 -15.76 0.000 -.0022151 -.0017251 | 2.race | (omitted) not_smsa | -.0890108 .0095316 -9.34 0.000 -.1076933 -.0703282 south | -.0606309 .0109319 -5.55 0.000 -.0820582 -.0392036 _cons | 1.03732 .0485546 21.36 0.000 .9421496 1.13249 -------------+---------------------------------------------------------------- sigma_u | .35562203 sigma_e | .29068923 rho | .59946283 (fraction of variance due to u_i) ------------------------------------------------------------------------------ F test that all u_i=0: F(4696, 23386) = 5.13 Prob > F = 0.0000 . hausman . random_effects ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | . random_eff~s Difference S.E. -------------+---------------------------------------------------------------- age | .0359987 .0368059 -.0008073 .0013177 c.age#c.age | -.000723 -.0007133 -9.68e-06 .0000184 ttl_exp | .0334668 .0290208 .0044459 .001711 c.ttl_exp#~p | .0002163 .0003049 -.0000886 .000053 tenure | .0357539 .0392519 -.003498 .0005797 c.tenure#c~e | -.0019701 -.0020035 .0000334 .0000373 not_smsa | -.0890108 -.1308252 .0418144 .0062745 south | -.0606309 -.0868922 .0262613 .0081345 ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg Test: Ho: difference in coefficients not systematic chi2(8) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 149.43 Prob>chi2 = 0.0000 . log off name: log: H:\Documents and Settings\Lee\My Documents\Document\stata\paneltest.log log type: text paused on: 10 Feb 2010, 15:08:03 ---------------------------------------------------------------------------------------------