面板数据random effect估计的个体效应怎么从复合残差分离出来？

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关键词：random Effect 面板数据 个体效应 rand

Title

    [XT] xtreg postestimation -- Postestimation tools for xtreg


Description

    The following postestimation commands are of special interest after xtreg:

    Command        Description
    ------------------------------------------------------------------------------------------------------------------
    xttest0        Breusch and Pagan LM test for random effects
    ------------------------------------------------------------------------------------------------------------------

    The following standard postestimation commands are also available:

    Command          Description
    ------------------------------------------------------------------------------------------------------------------
        contrast     contrasts and ANOVA-style joint tests of estimates
    (1) estat        AIC, BIC, VCE, and estimation sample summary
        estimates    cataloging estimation results
        hausman      Hausman's specification test
        lincom       point estimates, standard errors, testing, and inference for linear combinations of coefficients
        lrtest       likelihood-ratio test
        margins      marginal means, predictive margins, marginal effects, and average marginal effects
        marginsplot  graph the results from margins (profile plots, interaction plots, etc.)
        nlcom        point estimates, standard errors, testing, and inference for nonlinear combinations of
                       coefficients
        predict      predictions, residuals, influence statistics, and other diagnostic measures
        predictnl    point estimates, standard errors, testing, and inference for generalized predictions
        pwcompare    pairwise comparisons of estimates
        test         Wald tests of simple and composite linear hypotheses
        testnl       Wald tests of nonlinear hypotheses
    ------------------------------------------------------------------------------------------------------------------
    (1) estat ic is not appropriate after xtreg with the be, pa, or re option.


Special-interest postestimation commands

    xttest0, for use after xtreg, re, presents the Breusch and Pagan (1980) Lagrange multiplier test for random
    effects, a test that Var(v_i)=0.


Syntax for predict

    For all but the population-averaged model

        predict [type] newvar [if] [in] [, statistic nooffset]


    Population-averaged model

        predict [type] newvar [if] [in] [, PA_statistic nooffset]


    statistic      Description
    ------------------------------------------------------------------------------------------------------------------
    Main
      xb           xb, fitted values; the default
      stdp         calculate standard error of the fitted values
      ue           u_i + e_it, the combined residual
    * xbu          xb + u_i, prediction including effect
    * u            u_i, the fixed- or random-error component
    * e            e_it, the overall error component
    ------------------------------------------------------------------------------------------------------------------
    Unstarred statistics are available both in and out of sample; type predict ... if e(sample) ... if wanted only for
      the estimation sample.  Starred statistics are calculated only for the estimation sample, even when if e(sample)
      is not specified.


    PA_statistic   Description
    ------------------------------------------------------------------------------------------------------------------
    Main
      mu           probability of depvar; considers the offset()
      rate         probability of depvar
      xb           calculate linear prediction
      stdp         calculate standard error of the linear prediction
      score        first derivative of the log likelihood with respect to xb
    ------------------------------------------------------------------------------------------------------------------
    These statistics are available both in and out of sample; type predict ... if e(sample) ... if wanted only for the
      estimation sample.


Menu

    Statistics > Postestimation > Predictions, residuals, etc.


Options for predict

        +------+
    ----+ Main +------------------------------------------------------------------------------------------------------

    xb calculates the linear prediction, that is, a + bx_it.  This is the default for all except the
        population-averaged model.

    stdp calculates the standard error of the linear prediction.  For the fixed-effects model, this excludes the
        variance due to uncertainty about the estimate of u_i.

    mu and rate both calculate the predicted probability of depvar.  mu takes into account the offset(), and rate
        ignores those adjustments.  mu and rate are equivalent if you did not specify offset().  mu is the default for
        the population-averaged model.

    ue calculates the prediction of u_it + e_it.

    xbu calculates the prediction of a + bx_it + u_i, the prediction including the fixed or random component.

    u calculates the prediction of u_i, the estimated fixed or random effect.

    e calculates the prediction of e_it.

    score calculates the equation-level score.

    nooffset is relevant only if you specified offset(varname) for xtreg.  It modifies the calculations made by
        predict so that they ignore the offset variable; the linear prediction is treated as xb rather than xb +
        offset.