[Limdep Nlogit List] random effects vs OLS

[Andreas Drichoutis]

Dear all,

 

Is it correct that I'm getting the exact same coefficient estimates from a
random effects model with OLS?

 

Yours,

Andreas Drichoutis

 

--> skip $

--> regress ; lhs=bet2lot6 ; rhs=x1 ; pds=10; panel ; random $

+----------------------------------------------------+

| OLS Without Group Dummy Variables                  |

| Ordinary    least squares regression               |

| Model was estimated Jan 14, 2010 at 07:41:04PM     |

| LHS=BET2LOT6 Mean                 =   2.474676     |

|              Standard deviation   =   2.444271     |

| WTS=none     Number of observs.   =        710     |

| Model size   Parameters           =         12     |

|              Degrees of freedom   =        698     |

| Residuals    Sum of squares       =   3318.380     |

|              Standard error of e  =   2.180396     |

| Fit          R-squared            =   .2166045     |

|              Adjusted R-squared   =   .2042588     |

| Model test   F[ 11,   698] (prob) =  17.54 (.0000) |

| Diagnostic   Log likelihood       =  -1554.845     |

|              Restricted(b=0)      =  -1641.506     |

|              Chi-sq [ 11]  (prob) = 173.32 (.0000) |

| Info criter. LogAmemiya Prd. Crt. =   1.575773     |

|              Akaike Info. Criter. =   1.575770     |

|              Bayes Info. Criter.  =   1.652929     |

+----------------------------------------------------+

 

+----------------------------------------------------+

| Panel Data Analysis of BET2LOT6   [ONE way]        |

|           Unconditional ANOVA (No regressors)      |

| Source      Variation   Deg. Free.     Mean Square |

| Between       3030.11          70.     43.2872     |

| Residual      1205.79         639.     1.88699     |

| Total         4235.89         709.     5.97446     |

+----------------------------------------------------+

+--------+--------------+----------------+--------+--------+----------+

|Variable| Coefficient  | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|

+--------+--------------+----------------+--------+--------+----------+

|GENDER  |    1.44023***       .18075193     7.968   .0000    .3943662|

|AGE     |     .33061***       .05252022     6.295   .0000   20.732394|

|HSIZE   |     .12633          .08126361     1.555   .1200   4.3802817|

|TOTFEE  |     .17489*         .10456907     1.672   .0944   16.711268|

|ECONPOS1|    2.08826***       .41715206     5.006   .0000    .2676056|

|ECONPOS2|    2.13156***       .41055413     5.192   .0000    .2676056|

|ECONPOS3|    1.99186***       .39024486     5.104   .0000    .3239437|

|ECONPOS4|    1.20966**        .47230779     2.561   .0104    .0845070|

|PERIOD  |     .20266***       .02848913     7.114   .0000   5.5000000|

|TREAT_PR|     .60233***       .17831542     3.378   .0007    .4929577|

|TREAT_TR|     .36935**        .17360452     2.128   .0334    .5070423|

|Constant|   -11.8993***      2.17624091    -5.468   .0000            |

+--------+------------------------------------------------------------+

| Note: ***, **, * = Significance at 1%, 5%, 10% level.               |

+---------------------------------------------------------------------+

 

+----------------------------------------------------+

| Panel:Groups   Empty       0,   Valid data      71 |

|                Smallest   10,   Largest         10 |

|                Average group size            10.00 |

| There are 10 vars. with no within group variation. |

| GENDER   AGE      HSIZE    TOTFEE   ECONPOS1 more  |

+----------------------------------------------------+

 

+--------------------------------------------------+

| Random Effects Model: v(i,t) = e(i,t) + u(i)     |

| Estimates:  Var[e]              =   .153695D+01  |

|             Var[u]              =   .321717D+01  |

|             Corr[v(i,t),v(i,s)] =   .676712      |

| Lagrange Multiplier Test vs. Model (3) = 1463.56 |

| ( 1 df, prob value =  .000000)                   |

| (High values of LM favor FEM/REM over CR model.) |

| Baltagi-Li form of LM Statistic =        1463.56 |

|             Sum of Squares          .331838D+04  |

|             R-squared               .216605D+00  |

+--------------------------------------------------+

+--------+--------------+----------------+--------+--------+----------+

|Variable| Coefficient  | Standard Error |b/St.Er.|P[|Z|>z]| Mean of X|

+--------+--------------+----------------+--------+--------+----------+

|GENDER  |    1.44023***       .48130291     2.992   .0028    .3943662|

|AGE     |     .33061**        .13984988     2.364   .0181   20.732394|

|HSIZE   |     .12633          .21638724      .584   .5593   4.3802817|

|TOTFEE  |     .17489          .27844458      .628   .5299   16.711268|

|ECONPOS1|    2.08826*        1.11078482     1.880   .0601    .2676056|

|ECONPOS2|    2.13156*        1.09321596     1.950   .0512    .2676056|

|ECONPOS3|    1.99186*        1.03913680     1.917   .0553    .3239437|

|ECONPOS4|    1.20966         1.25765247      .962   .3361    .0845070|

|PERIOD  |     .20266***       .01619848    12.511   .0000   5.5000000|

|TREAT_PR|     .60233          .47481500     1.269   .2046    .4929577|

|TREAT_TR|     .36935          .46227091      .799   .4243    .5070423|

|Constant|   -11.8993**       5.78050082    -2.059   .0395            |

+--------+------------------------------------------------------------+

| Note: ***, **, * = Significance at 1%, 5%, 10% level.               |

+---------------------------------------------------------------------+