Monte carlo simulation to test RE model

[Mathias Rechsteiner]

Hi folks,

I run a random effect model and would like to make a robustness test with monte carlo. I am pretty new in this field, and am unsure about the results.


my model

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use "C:\STATA\20190118 fbdata.dta", replace
xtset ID year
xtreg MATH football age sex parentaleducation parentalincome, re
-----------


my monte carlo simulation:

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capture program drop regprog
program regprog, rclass
drop _all
set obs 100
use "C:\STATA\20190118 fbdata.dta", replace
gen u=invnorm(uniform())
xtset ID year
xtreg MATH football+u age sex parentaleducation year
return scalar b0 = _coef[_cons]
return scalar b1 = _coef[football]
return scalar b2 = _coef[age]
return scalar b3 = _coef[sex]
return scalar b4 = _coef[parentaleducation]
return scalar b5 = _coef[year]
return scalar b6 = u
end

simulate b0 = r(b0) b1 = r(b1) b2 = r(b2) b3 = r(b3) b4 = r(b4) b5 = r(b5) b6 = r(b6), reps(100): regprog
sum
histogram b1, kdensity plot(function stdnorm = normalden(x,0,1), lpattern(dash))

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the results seems to look weird.

for the random effect model I get

MATH
football	0.838
age	4.935
sex	-0.586
parentaleducation	0.882
year	0.183

for the monte carlo simulation I get

b0	-173
b1	-0.041
b2	4.986
b3	-0.543
b4	0.878
b5	0.181
b6	0.164

On my interpretation, the values look all very good. also u is with 0.164 close to 0. but why is b1 so different from the coefficient of football? When I change the random variable to i.e. sex, I have the same phenomenon. All coefficients are almost identical to the monte carlo simulation but not sex, even if the error term has a standard deviation.

can somebody help me to get the point? thank you very much for your appreciate help!

[Clyde Schechter]

xtreg MATH football+u age sex parentaleducation year

is a syntax error and would have stopped your program cold. So why don't you show the code you actually ran to get those results? A sample of your data (use -dataex- for that) would be crucial here as well.

If you are running version 15.1 or a fully updated version 14.2, -dataex- is already part of your official Stata installation. If not, run -ssc install dataex- to get it. Either way, run -help dataex- to read the simple instructions for using it. -dataex- will save you time; it is easier and quicker than typing out tables. It includes complete information about aspects of the data that are often critical to answering your question but cannot be seen from tabular displays or screenshots. It also makes it possible for those who want to help you to create a faithful representation of your example to try out their code, which in turn makes it more likely that their answer will actually work in your data.

When asking for help with code, always show example data. When showing example data, always use -dataex-.