Store the outcome from xttest0

[Wei-Wei Lin]

Hi Guys

I meet the problem when I am trying to store the result from xttest0.
I learned how to store the results from estimation as like xtreg, but I cannot find out the reference for taking the result from this command.
I want "Prob > chibar2 = 0.0000" but it's ok if anyone is willing to teach me how to calculate it manually.


Breusch and Pagan Lagrangian multiplier test for random effects

ebasq[rssd9001,t] = Xb + u[rssd9001] + e[rssd9001,t]

Estimated results:
| Var sd = sqrt(Var)
---------+-----------------------------
ebasq | .0376543 .194047
e | .0069079 .0831138
u | .007011 .0837318

Test: Var(u) = 0
chibar2(01) = 97427.78
Prob > chibar2 = 0.0000



Thank you very much.

[Carlo Lazzaro]

Wei-Wei:
welcome to this forum.
You may want to try:

. use "https://www.stata-press.com/data/r16/nlswork.dta"
(National Longitudinal Survey.  Young Women 14-26 years of age in 1968)

. xtreg ln_wage age, re

Random-effects GLS regression                   Number of obs     =     28,510
Group variable: idcode                          Number of groups  =      4,710

R-sq:                                           Obs per group:
     within  = 0.1026                                         min =          1
     between = 0.0877                                         avg =        6.1
     overall = 0.0774                                         max =         15

                                                Wald chi2(1)      =    3140.35
corr(u_i, X)   = 0 (assumed)                    Prob > chi2       =     0.0000

------------------------------------------------------------------------------
     ln_wage |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
         age |   .0185667   .0003313    56.04   0.000     .0179174    .0192161
       _cons |   1.120439   .0112038   100.01   0.000      1.09848    1.142398
-------------+----------------------------------------------------------------
     sigma_u |  .36972456
     sigma_e |  .30349389
         rho |  .59743613   (fraction of variance due to u_i)
------------------------------------------------------------------------------

. 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 |   .2285836       .4781042
                       e |   .0921085       .3034939
                       u |   .1366963       .3697246

        Test:   Var(u) = 0
                             chibar2(01) = 28235.40
                          Prob > chibar2 =   0.0000

. return list

scalars:
                  r(p) =  0
                 r(df) =  1
                 r(lm) =  28235.39703475597

. g A=r(p)

.

[Wei-Wei Lin]

Thank you very much.
Getting a new useful skill

[Eduard Kepl]

Dear all,

may someone clarify, how I can export the results from xttest0 to word?

If I write:
xtreg dep indep, re
xttest0
outreg2 using new, word dec(3) replace ctitle(new)

I'll just get the random effects regression but not the results of xttest0.

If I write:
asdoc xtreg dep indep, re , save(new) replace
asdoc xttest0, save(new) append

I get the error:
invalid syntax
r(198);

I face the same problem when I do tests with xttest3.

Thank you
BR Eduard

[KitBaum]

No need to create a variable to store these scalars, Just ssc install estout

. webuse grunfeld,clear

. eststo clear

. eststo:qui xtreg invest mvalue kstock,re
(est1 stored)

. xttest0

Breusch and Pagan Lagrangian multiplier test for random effects

        invest[company,t] = Xb + u[company] + e[company,t]

        Estimated results:
                         |       Var     SD = sqrt(Var)
                ---------+-----------------------------
                  invest |   47034.89       216.8753
                       e |   2784.458       52.76796
                       u |     7089.8       84.20095

        Test: Var(u) = 0
                             chibar2(01) =   798.16
                          Prob > chibar2 =   0.0000

. qui estadd scalar LM=r(lm)

. qui estadd scalar LM_pval=r(p)

. esttab, stat(N LM LM_pval) star(* 0.1 ** 0.05 *** 0.01)

----------------------------
                      (1)   
                   invest   
----------------------------
mvalue              0.110***
                  (10.46)   

kstock              0.308***
                  (17.93)   

_cons              -57.83** 
                  (-2.00)   
----------------------------
N                     200   
LM                  798.2   
LM_pval         6.77e-176   
----------------------------
t statistics in parentheses
* p<0.1, ** p<0.05, *** p<0.01

. 
end of do-file

.

[Eduard Kepl]

Awesome, thanks a lot!

[Eduard Kepl]

Dear all,

I applied the code of KitBaum, which works well for xttest3. However, it doesn't work for the results of .collin:
Code used:

eststo clear
eststo:qui xtreg dep indep, fe 
collin indep 
qui estadd scalar VIF=r(vif)
qui estadd scalar TOL=r(tolerance)
esttab using new.doc, stat(N VIF TOL) star(* 0.1 ** 0.05 *** 0.01) append 

So my question is, how can I export results from .collin smoothly? That said I am only interested in VIF and Tolerance values of the collin command, but I don't know how to suppress the other outcomes.

Thank you and best regards
Eduard