.

xtreg lnSP lnVIX ,fe

Fixed-effects (within) regression Number of obs = 5250

Group variable: ID Number of groups = 50

R-sq: within = 0.2304 Obs per group: min = 105

between = 0.0113 avg = 105.0
overall = 0.0202 max = 105

F(1,5199) = 1556.29
corr(u_i, Xb) = 0.0000 Prob > F = 0.0000

lnSP Coef. Std. Err. t P>|t| [95% Conf. Interval]

lnVIX -.4981366 .0126271 -39.45 0.000 -.5228909 -.4733822

_cons 6.268311 .0397541 157.68 0.000 6.190376 6.346246

sigma_u 1.1188113
sigma_e .30289146
rho .93171234 (fraction of variance due to u_i)

F test that all u_i=0: F(49, 5199) = 1432.61 Prob > F = 0.0000

. xtreg    lnSP    lnVIX ,fe

Fixed-effects (within) regression                              Number of obs            =            5250

Group variable: ID                                                            Number of groups      =                50

R-sq:    within    = 0.2304                                                  Obs per group: min =              105

              between = 0.0113                                                                                avg =          105.0

              overall = 0.0202                                                                                max =              105

                                                                                                F(1,5199)                    =      1556.29

corr(u_i, Xb)    = 0.0000                                                  Prob > F                      =        0.0000

------------------------------------------------------------------------------

                lnSP |            Coef.      Std. Err.            t        P>|t|          [95% Conf. Interval]

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

              lnVIX |    -.4981366      .0126271      -39.45      0.000        -.5228909      -.4733822

              _cons |      6.268311      .0397541      157.68      0.000          6.190376        6.346246

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

          sigma_u |    1.1188113

          sigma_e |    .30289146

                  rho |    .93171234      (fraction of variance due to u_i)

------------------------------------------------------------------------------

F test that all u_i=0:          F(49, 5199) =    1432.61                        Prob > F = 0.0000

. esttab

----------------------------

                                            (1)     

                                          lnSP     

----------------------------

lnVIX                            -0.498***

                                  (-39.45)     

_cons                              6.268***

                                  (157.68)     
----------------------------

N                                        5250     

----------------------------

t statistics in parentheses

* p<0.05, ** p<0.01, *** p<0.001

correl lnSP lnMCAP lnVIX lnTT

(obs=5200)

                          |          lnSP      lnMCAP        lnVIX          lnTT

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

                lnSP |      1.0000

            lnMCAP |      0.3173      1.0000

              lnVIX |    -0.1410    -0.0063      1.0000

                lnTT |      0.0157      0.1501      0.0428      1.0000

  lnSP      lnMCAP        lnVIX          lnTT

                ln
SP    1
            lnM
CAP      0.3173      1.0000
              lnV
IX    -0.1410    -0.0063      1.0000
                ln
TT    0.0157      0.1501      0.0428      1.0000

vif
        Variable |              VIF              1/VIF   

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

                lnTT |            1.03        0.975544

            lnMCAP |            1.02        0.977297

              lnVIX |            1.00        0.997999

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

        Mean VIF |            1.02