Displaying 6 results from an estimated 6 matches for "sigma_u".
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2016 Jul 17
2
Muestrear de una normal multivariante.-
¡Hola a todos!
Estoy intentando muestrear de una normal multivariante donde hay dos grupos
de variables que deben tener una relación "manipulable" entre sí pero
ignoro cómo hacerlo.
Les cuento, he intentado lo siguiente:
# covarianzas del primer grupo de variables:
Sigma_U <- matrix(c(.25, .2, .2, .25), ncol=2)
# covarianzas del segundo grupo de variables:
Sigma_W <- diag(2)
# covarianzas _arbitrarias_ entre los dos grupos de variables
Sigma_UZ <- matrix(rnorm(4), nrow=2)
# consolidación de las covarianzas anteriores:
Sigma<-rbind(
cbind(Sigma_U, S...
2005 Jun 04
1
can R do Fixed-effects (within) regression (panel data)?
...9476 .0712293 1.29 0.197 -.0476592 .2315544
d87 | .1349289 .0813135 1.66 0.097 -.0244427 .2943005
_cons | .0235864 .1506683 0.16 0.876 -.271718 .3188907
-------------+----------------------------------------------------------------
sigma_u | .32460315
sigma_e | .35099001
rho | .46100216 (fraction of variance due to u_i)
2)
can R do Fixed-effects (within) regression as Stata's xtreg?
the followng example is from
"Introductory Econometrics: A Modern Approach" by Jeffrey M. Wooldridge
Chapter 14 -...
2010 Jun 09
1
equivalent of stata command in R
....0013978 -22.73 0.000 -.034508 -.0290287
_Iyear_1999 | -.0647261 .0027674 -23.39 0.000 -.0701501 -.0593021
_cons | 1.802112 .009304 193.69 0.000 1.783876 1.820348
-------------+----------------------------------------------------------------
sigma_u | .38142386
sigma_e | .2173114
rho | .75494455 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(48854, 97301) = 3.30 Prob > F = 0.0000
3. Compute marginal ef...
2010 Jun 09
1
equivalent of stata command in R
...0013978 -22.73 0.000 -.034508 -.0290287
_Iyear_1999 | -.0647261 .0027674 -23.39 0.000 -.0701501 -.0593021
_cons | 1.802112 .009304 193.69 0.000 1.783876 1.820348
-------------+----------------------------------------------------------------
sigma_u | .38142386
sigma_e | .2173114
rho | .75494455 (fraction of variance due to u_i)
------------------------------------------------------------------------------
F test that all u_i=0: F(48854, 97301) = 3.30 Prob > F = 0.0000
3. Compute marg...
2003 Oct 21
0
lme mildly blowing up
...elevant reduced dataset -- that is, if I drop
some observations (for committees nobody would ever care about), it
behaves again.
What I'm wondering is:
(1) Is the model basically running home to OLS-or-very-close-to-it? If
I estimate the same model using stata's xtreg, it returns a sigma_u
of zero, and if I estimate it with HLM, it generates a bad tau and
tries again with one that is positive but weensy. Are the algorithms
in lme doing the same thing here, or something closely analogous?
Generating an impermissible negative that gets truncated to zero, or
su...
2010 Jun 09
1
equivalent of stata command in R
..._Iyear_1999 | -.0647261 .0027674 -23.39 0.000 -.0701501 -.0593021
> >
> > _cons | 1.802112 .009304 193.69 0.000 1.783876 1.820348
> >
> > -------------+----------------------------------------------------------------
> >
> > sigma_u | .38142386
> >
> > sigma_e | .2173114
> >
> > rho | .75494455 (fraction of variance due to u_i)
> >
> > ------------------------------------------------------------------------------
> >
> > F test that all u_i=0: F(48854, 97301...