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Re: st: Two-way random model for Panel Data


From   Michael Ingre <Michael.Ingre@ipm.ki.se>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Two-way random model for Panel Data
Date   Wed, 2 Mar 2005 10:59:43 +0100

Hi Daniel,

I think what you want to model is sometimes called a cross-classified random effects model and as far as I know this is not possible with Stata, not even with -gllamm-. However, HLM will do it. Check this link and look ad the HCM2 model: http://www.ssicentral.com/hlm/hlm6/hlm6.htm.

I have never tried such a model myself but the textbook example is about students cross-classified by classrooms and neighbourhoods. I think this model can be adapted to your problem with your level-2 units cross-classified by country and time period.

The bad news is that you have to spend money on the HLM software ( I think other multilevel packages might handle this problem also e.g. MlWin and Mplus but I have not checked that). Unfortunately, Sean Reardon's excellent package -hlm- that is download-able from SSC, currently only support HLM2 and HLM3 models but not HCM2 so you have to leave the Stata environment to run your models.

That's my 2 cents. I hope it helped.

Michael


On 2005-02-28, at 18:01, daniel perez wrote:


Hi everybody,

I hope I'll find somebody which is able to get
through a specification problem with panel data.

I want to compute a two-way random a model like this
one:

yi,t= a0+consi+const+ b1Xi,t+epsiloni,t

where a0 is a common constant and consi is a
country specific constant and const is a specific time
constant.
I used xtreg y x dummy (for time period),re i(country)
but I'm not sure that it's the correct way
to formulate this two-way model under random effects
approach...

Thank in advance for any help
Daniel








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------------------------------------------------
Michael Ingre , PhD student & Research Associate
Department of Psychology, Stockholm University &
National Institute for Psychosocial Medicine IPM
Box 230, 171 77 Stockholm, Sweden


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