Hi everyone,
I'm confused by xttest0 result and wondering about this result inference. My data consist of 74 observation for 3 years (2016-2018).
Before i explain my confusion let me show my result of F test (chow) over my time dummies (time effect) in my FE model.
Based on that result i conclude that i should include time dummies in my model.
But the question came when i'm trying to test Breusch-Pagan LM for my re model.
Because i include time dummies in my model,
1. how to test variance for my dummies using xttest0?
2. because i assumed that breusch pagan only test H0; σ2μi = 0 (individual effect variance), how about time dummies that i include in model? does it mean that i also test H0; σ2δt = 0 (time effect variance)?
and this is how i do xttest0, feel free to correct:
*i'm sorry, maybe i made a wrong assumption or conclude the wrong conclusions, please help me to understand this information, Thank you.
I'm confused by xttest0 result and wondering about this result inference. My data consist of 74 observation for 3 years (2016-2018).
Before i explain my confusion let me show my result of F test (chow) over my time dummies (time effect) in my FE model.
Code:
. xtreg Y X1 X2 i.year, vce(robust)
Random-effects GLS regression Number of obs = 222
Group variable: id Number of groups = 74
R-sq: Obs per group:
within = 0.5808 min = 3
between = 0.7509 avg = 3.0
overall = 0.6921 max = 3
Wald chi2(4) = 224.45
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
(Std. Err. adjusted for 74 clusters in id)
------------------------------------------------------------------------------
| Robust
Y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
X1 | .7108377 .1066756 6.66 0.000 .5017573 .9199181
X2 | 28.54182 3.993661 7.15 0.000 20.71438 36.36925
|
id |
2017 | -.6259327 .3506201 -1.79 0.074 -1.313136 .0612702
2018 | -2.147511 .5524324 -3.89 0.000 -3.230259 -1.064763
|
_cons | -.8966768 .5696678 -1.57 0.115 -2.013205 .2198515
-------------+----------------------------------------------------------------
sigma_u | 1.8382725
sigma_e | 2.7763652
rho | .30478115 (fraction of variance due to u_i)
------------------------------------------------------------------------------
. testparm i.year
( 1) 2017.year = 0
( 2) 2018.year = 0
chi2( 2) = 15.13
Prob > chi2 = 0.0005
But the question came when i'm trying to test Breusch-Pagan LM for my re model.
Because i include time dummies in my model,
1. how to test variance for my dummies using xttest0?
2. because i assumed that breusch pagan only test H0; σ2μi = 0 (individual effect variance), how about time dummies that i include in model? does it mean that i also test H0; σ2δt = 0 (time effect variance)?
and this is how i do xttest0, feel free to correct:
Code:
. xtreg Y X1 X2 i.year, re vce (robust)
Random-effects GLS regression Number of obs = 222
Group variable: id Number of groups = 74
R-sq: Obs per group:
within = 0.5808 min = 3
between = 0.7509 avg = 3.0
overall = 0.6921 max = 3
Wald chi2(4) = 224.45
corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000
(Std. Err. adjusted for 74 clusters in Kode)
------------------------------------------------------------------------------
| Robust
Y | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
X1 | .7108377 .1066756 6.66 0.000 .5017573 .9199181
X2 | 28.54182 3.993661 7.15 0.000 20.71438 36.36925
|
year |
2017 | -.6259327 .3506201 -1.79 0.074 -1.313136 .0612702
2018 | -2.147511 .5524324 -3.89 0.000 -3.230259 -1.064763
|
_cons | -.8966768 .5696678 -1.57 0.115 -2.013205 .2198515
-------------+----------------------------------------------------------------
sigma_u | 1.8382725
sigma_e | 2.7763652
rho | .30478115 (fraction of variance due to u_i)
------------------------------------------------------------------------------
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
Y[Kode,t] = Xb + u[Kode] + e[Kode,t]
Estimated results:
| Var sd = sqrt(Var)
---------+-----------------------------
Y | 35.59679 5.966304
e | 7.708204 2.776365
u | 3.379246 1.838272
Test: Var(u) = 0
chibar2(01) = 18.54
Prob > chibar2 = 0.0000
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