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st: xtmixed - model fit and modeling questions


From   "Hillel Alpert" <HALPERT@hsph.harvard.edu>
To   "statalist" <statalist@hsphsun2.harvard.edu>
Subject   st: xtmixed - model fit and modeling questions
Date   Fri, 29 Sep 2006 13:41:58 -0400

Standard errors appear for the fixed effects variables using EM (only). Are these valid? How can you tell which
variables should be 0, by lack of convergence (e.g. after ~1000 iterations) or some other way?

Hillel

>
Have a look at the -emonly- and -emiter()- options to -xtmixed-, which select optimization via EM (only) and set the
number of EM iterations.  Most of the time, if you set the EM iterations large enough you can get a feel for which are
the offending variance components (i.e., those that really want to be zero and should be taken out of the model).

EM maximization does not use Hessians, hence it doesn't suffer from problems of lack of concavity.  The flip side is
that it can be very slow to converge, not guaranteed to converge at all, and you don't get standard errors.  As a result
of this, by default EM is relegated to starting-value duty in -xtmixed-.

--Bobby
rgutierrez@stata.com

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