Hi,

I have a panel data for US listed firms for the years 2001-2019. I am trying to a model to determine the impact of Geographic Diversification on Firm Performance (winsorized ROA.) I want to make a determination between the model to be used i.e. Pooled OLS, FE or RE. I first ran the RE model and obtained the result below. I am confused whi the chi2 statistic is missing. (An earlier post on this topic on STATALIST suggested that this happens when the number of coefficients exceeds the number of groups. But that does not seem to be the case in the model I ran. Have I misunderstood something?)
Code:
. xtreg ROA_win05 Ln_Revenue Ln_LTDTA CoAge TPSD Ind_GSD_by_Year wGDPpc wCPI wDCF wExpgr wGD
> Pgr wCons c.l1.GSD##c.l1.GSD if FOREIGNSALESTOTALSALES !=. &  FOREIGNSALESTOTALSALES >10 &
>  Year_ < YearInactive & Mfr==1, re 

Random-effects GLS regression                   Number of obs     =      1,137
Group variable: n_CUSIP                         Number of groups  =         98

R-sq:                                           Obs per group:
     within  = 0.0407                                         min =          1
     between = 0.4726                                         avg =       11.6
     overall = 0.2526                                         max =         18

                                                Wald chi2(11)     =          .
corr(u_i, X)   = 0 (assumed)                    Prob > chi2       =          .

---------------------------------------------------------------------------------
      ROA_win05 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
----------------+----------------------------------------------------------------
     Ln_Revenue |   3.983084   .4894103     8.14   0.000     3.023857     4.94231
       Ln_LTDTA |   -.808216    .175129    -4.61   0.000    -1.151463   -.4649694
          CoAge |   .0213257   .0316602     0.67   0.501    -.0407271    .0833786
           TPSD |  -.5895496   .7915406    -0.74   0.456    -2.140941    .9618414
Ind_GSD_by_Year |   3.005267   1.623797     1.85   0.064    -.1773164    6.187851
         wGDPpc |   .0000421   .0001331     0.32   0.752    -.0002188     .000303
           wCPI |    .146148   .2199932     0.66   0.506    -.2850308    .5773267
           wDCF |  -1.30e-12   9.03e-13    -1.43   0.151    -3.06e-12    4.74e-13
         wExpgr |   .1588356   .0861435     1.84   0.065    -.0100025    .3276737
         wGDPgr |  -.3078847   .2234746    -1.38   0.168    -.7458869    .1301176
          wCons |   3.69e-13   3.35e-13     1.10   0.270    -2.87e-13    1.03e-12
                |
            GSD |
            L1. |    4.02664   3.165411     1.27   0.203    -2.177452    10.23073
                |
  cL.GSD#cL.GSD |  -3.669104   2.380216    -1.54   0.123    -8.334242    .9960344
                |
          _cons |  -86.90337   10.13018    -8.58   0.000    -106.7582   -67.04859
----------------+----------------------------------------------------------------
        sigma_u |    13.1045
        sigma_e |  6.0774571
            rho |  .82299012   (fraction of variance due to u_i)
---------------------------------------------------------------------------------

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