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st: RE: Random Effects Model with Multiple Random Coefficients


From   "Pagan, Jose" <pagan@wharton.upenn.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Random Effects Model with Multiple Random Coefficients
Date   Tue, 17 Feb 2004 11:23:41 -0500

Hi Cem, I think you can estimate this model using gllamm (see
www.gllamm.org). The variable group identifies the groups. nrf
identifies the number of random coefficients. You should go through the
gllamm manual though as there are many options you can use (e.g., adapt,
nocor, weights, etc.).


* Random effects model with no random slopes
gllamm y x1 x2 x3 x4 x5, i(group) 

* Random effects model with multiple random coefficients 
gen cons=1
eq inter: cons
eq x1s: x1
eq x2s: x2 
gllamm y x1 x2, i(group) nrf(3) eq(inter x1s x2s)


Jose Pagan


-----Original Message-----
From: Cem Bahadir [mailto:Cem_Bahadir@bus.emory.edu] 
Sent: Tuesday, February 17, 2004 10:40 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: Random Effects Model with Multiple Random Coefficients

Hi all,

I am trying to estimate a model in which multiple variables have random
coefficients. As far as I understand, "xtreg" type commands provide
an estimate for the within-unit variability by decomposing the error
term
into two parts. I haven't seen any command which treats more than one
independent
variable having random coefficient. How can I do it?

Regards,

Cem Bahadir
Goizueta Business School
Doctoral Student

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