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st: Which random effect estimators use Gauss-Hermite


From   "Cowell, Alexander J." <cowell@rti.org>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: Which random effect estimators use Gauss-Hermite
Date   Fri, 25 Apr 2003 12:59:25 -0400

Hi there

The manual points out that after running xtlogit with random effects, one
should use quadchck (though I don't see why this isn't just the default in
xtlogit).  This is because the quadrature method of computing the log
likelihood and the derivatives may give unstable estimates.  This makes
sense.

Rather cryptically the manual (version 7.0) also says in the 'quadchck'
entry "Some random-effects estimators in Stata use Gauss-Hermite
quadrature...).  

My questions are: 
1.  Which estimators do and which don't use G-H quadrature?
2.  Or, if #1 is too much to answer, what does xtnbreg use?
3.  How can we check for 'stability' with whatever other methods are used? 
4.  If Stata does use different optimization methods for different
estimators, what determines which algorithm is chosen?
5.  And how about making (perhaps a non-noisy) quadchck a default for those
xt family members that need it?

Thanks!

Alex Cowell

			Alex Cowell, Ph.D.  
			Behavioral Health Economics Program
			RTI
			3040 Cornwallis Road              PHONE:
919.541.8754
			PO Box 12194                          FAX:
919. 541.6683
			Research Triangle Park            E-MAIL:
cowell@rti.org
			North Carolina  27709-2194      




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