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Re: st: three level variance components using xtmixed


From   Joseph Coveney <jcoveney@bigplanet.com>
To   Statalist <statalist@hsphsun2.harvard.edu>
Subject   Re: st: three level variance components using xtmixed
Date   Wed, 16 Aug 2006 19:23:36 +0900

Huseyin Tastan wrote:

I want to analyze variance components of a measure of firm performance (such
as return on equity) using random effects at three levels: industry level,
firm level and time level.

I have data on

industries: i=1,2,...,20 (there are 20 industries)

firms: j=1,2,...,1000 (there are 1000 firms)

and

years: t=1,2,...,10 (there are 10 years)

The specific model is written as follows:

y_ijt = a + b_i + c_j + d_t + e_ijt

There are four variances to estimate in this model:

var(y) = var(b) + var(c) + var(d) + var(e)

I have tried xtmixed to estimate this model but the convergence was
extremely slow (I used reml option). And for some dependent variables it
didnt even converge. The command I used was something like this:

xtmixed y || industry: || firm: || year:, variance

[excerpted]

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