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st: RE: testing random effects with xtmixed

From   "Maarten Buis" <>
To   <>
Subject   st: RE: testing random effects with xtmixed
Date   Thu, 5 Oct 2006 14:04:17 +0200

In essence you want to test whether the variance of the 
random region specific intercept is zero. Stata will 
report standard errors for the variances, but Wald test 
(parameter divided by the se is standard normal) is 
problematic since the null hypothesis is on the border 
of the allowable values of a variance. You could 
estimate a model with random effects on the region level 
and one without and do a likelihood ratio test. You'll 
have to take care to specify the mle option to make that 
valid, since by default -xtmixed- uses restricted 
maximum likelihood (reml). You can repeat that for 
the school and class levels.

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

-----Original Message-----
From: []On Behalf Of Hillel Alpert
Sent: woensdag 4 oktober 2006 22:21
Subject: st: testing random effects with xtmixed

How can the effect of a particular level be tested with xtmixed for a multi-level model?

For example, how can we test the significance of region, school, and/or class?

xtmixed depvar indep || region: || school: || class:

Advice would be greatly appreciated.
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