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From |
"Scott Merryman" <smerryman@kc.rr.com> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: Re: Which random effect estimators use Gauss-Hermite |

Date |
Sat, 26 Apr 2003 16:43:45 -0500 |

----- Original Message ----- From: "Cowell, Alexander J." <cowell@rti.org> To: <statalist@hsphsun2.harvard.edu> Sent: Friday, April 25, 2003 11:59 AM Subject: st: Which random effect estimators use Gauss-Hermite > 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? At least in Stata 8 -quadchk- checks the quadrature approximation used in the random-effects estimators of the following commands: xtcloglog xtintreg xtlogit xtpoisson with the normal option xtprobit xttobit These estimators all assume a normal distribution for the random effect. > 2. Or, if #1 is too much to answer, what does xtnbreg use? Gaussian quadrature is not used to maximize the log-likelihood but to approximate integrals that do not exist in closed form. Stata uses the Newton-Raphson algorithm to maximize the likelihood function (or if the -difficult- option is employed then steepest ascent is used in the problem subspaces). For -xtnbreg , re- with random effect d(i), it is assumed that 1(1+d(i)) is distributed as a Beta distribution. I believe the integral has a closed form so quadrature approximation is not necessary. Scott * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: Which random effect estimators use Gauss-Hermite***From:*"Cowell, Alexander J." <cowell@rti.org>

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