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st: RE: variance components usin xtmixed


From   "Maarten Buis" <M.Buis@fsw.vu.nl>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: variance components usin xtmixed
Date   Tue, 22 Aug 2006 10:37:54 +0200

--- Huseyin Tastan asked: 
> 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)

<snip>

> The command I used was something like this:
> xtmixed y || industry: || firm: || year:, variance
>
> This assumes that year is nested within firms and firm is nested within
> industries.

This seems wrong to me: this is a crossed design not a hierarchical design.
I have no experience estimating those with Stata but the manual entry for 
-xtmixed- has a section on crossed designs.

HTH,
Maarten

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology 
Vrije Universiteit Amsterdam 
Boelelaan 1081 
1081 HV Amsterdam 
The Netherlands

visiting adress:
Buitenveldertselaan 3 (Metropolitan), room Z434 

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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