Re: st: stata equivalent of proc mixed

[Buzz Burhans <wsb2@cornell.edu>]

As others have described, there a number of options for approaching mixed 
models in Stata, and in fact it takes a fair bit for some of us to work 
through the multiple options for working with such data in Stata.   Perhaps 
the closest option to Proc MIxed, as David suggests, is -gllamm-, which is 
a great and flexible routine with some very nice diagnostics available 
through -gllapred- and -gllasym-. As I understand it however, one caution 
regarding use of =gllamm-  for longtitudinal heirarchical data such as 
might be modeled with Proc Mixed is that -gllamm- does not provide the 
capability to model the residual covariance matrix structure,  thus it is 
unable to capture the time related covariance of the residuals in cases 
where the fixed time effects are not strong enough to absorb the entire 
time associated correlation.  -Gllamm- does provide a robust option, which 
allows one to relax the iid assumption for the residuals in such cases, 
however, the inferences about the model are then subtly changed also.

Buzz Burhans


At 10:28 PM 11/25/2003 -0600, you wrote:

> > Hi all,
> >
> > Does Stata have an equivalent of SAS's proc mixed for time series data?
> >
> > Thanks,
> > Jim Seward
>
> Stata does implement certain models as others have mentioned (xtreg), and 
> perhaps your problem is subsumed by those, but Stata does not have a 
> powerful general mixed model like Proc Mixed. It will be a while, 
> certainly more than a year, before anything appears in official Stata. 
> It's on the list, according to tech-support. As for GLLAMM, it is slow, 
> but that's an interesting option. If you don't have SAS, look to R. 
> NLME/LME or LME4 in R will do most of what Proc Mixed will do. And it's 
> free if you have the time to learn R. If you know both Stata and R, then 
> you know the only two statistical packages with good programming 
> languages. There is a useful text by Bates detailing NLME/LME but not yet 
> LME4. Of course, if you can get my within what Stata offers, I envy you.
>
> -Dave
>
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Buzz Burhans
wsb2@cornell.edu


*
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