P Value after xtreg

[Zhen Cortes]

How to calculate p value after running xtreg?

I tried to use the following formula, but the p value is different from the stata output.
(2 * ttail(e(df_m), abs(_b[weight]/_se[weight]))) I really appreciate if anyone can answer this. Zhen

[Clyde Schechter]

It's e(df_r), not e(df_m).

[Zhen Cortes]

By using xtreg, there's no e(df_r), only e(df_m)

[Zhen Cortes]

I used random effect for xtreg.

[Andrew Musau]

Notice that with -xtreg, re- you get a z statistic and not a t statistic. You do not need any degrees of freedom here

 2*(normal(-(_b[weight]/_se[weight])))

[Clyde Schechter]

Re #3, I thought you had used -xtreg, fe-, which does leave e(df_r).

[Zhen Cortes]

Thanks Andrew. I didn't notice the z score. It works great

Thanks Clyde for clarification.

[Anna Daelen]

Thanks to all, this forum is really helpful. To get the p-value after random effects xtreg, the coefficient should be in absolute value:

2*(normal(-(abs(_b[`var'])/_se[`var'])))

[Andrew Musau]

Thanks for the correction! As this thread is a few years old, also note the following way to obtain P-values:

webuse grunfeld, clear
xtreg invest mvalue kstock, re
di r(table)["pvalue", "mvalue"]
di r(table)["pvalue", "kstock"]
di r(table)["pvalue", "_cons"]

Res.:

. xtreg invest mvalue kstock, re

Random-effects GLS regression                   Number of obs     =        200
Group variable: company                         Number of groups  =         10

R-sq:                                           Obs per group:
     within  = 0.7668                                         min =         20
     between = 0.8196                                         avg =       20.0
     overall = 0.8061                                         max =         20

                                                Wald chi2(2)      =     657.67
corr(u_i, X)   = 0 (assumed)                    Prob > chi2       =     0.0000

------------------------------------------------------------------------------
      invest |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
      mvalue |   .1097811   .0104927    10.46   0.000     .0892159    .1303464
      kstock |    .308113   .0171805    17.93   0.000     .2744399    .3417861
       _cons |  -57.83441   28.89893    -2.00   0.045    -114.4753   -1.193537
-------------+----------------------------------------------------------------
     sigma_u |   84.20095
     sigma_e |  52.767964
         rho |  .71800838   (fraction of variance due to u_i)
------------------------------------------------------------------------------

. di r(table)["pvalue", "mvalue"]
1.282e-25

. di r(table)["pvalue", "kstock"]
6.411e-72

. di r(table)["pvalue", "_cons"]
.04536391

.

[Anna Daelen]

Thank you, Andrew!