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st: xtgee results depend on sort order


From   Jonathan Sterne <Jonathan.Sterne@bristol.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtgee results depend on sort order
Date   Wed, 18 Oct 2006 08:49:54 +0100

We recently encountered a surprising problem in which estimates from xtgee
depend on the sort order of the data: something that we had thought could not happen in a standard Stata estimation command. Stata technical support have confirmed this really happens in this dataset, but were not able to explain why. They recommended using the sortseed command before performing the analysis, but while that makes results reproducible it does explain why the problem arises or how to derive the best estimate. The problem is particularly disconcerting because nothing in the output suggests there is an estimation problem.

We used xtgee with an exchangeable correlation structure. The correlation
between successive observations in the same person is negative but stable even when the estimation results change. Two examples of the output follow (the output varies every time the command is run). As you can see exactly the same numbers of people are included in the analysis, with the same number of observations.

Has anyone encountered this problem before and, if so, what the best method is to overcome it?

Thanks

Jonathan Sterne

A. xtgee cd4_slope ON_ARTs, i(patient) fam(gaussian) link(id) corr(exc)

Iteration 1: tolerance = .21893738
Iteration 2: tolerance = .00579956
Iteration 3: tolerance = .00004564
Iteration 4: tolerance = 3.927e-07

GEE population-averaged model Number of obs = 4927
Group variable: patient Number of groups = 3131
Link: identity Obs per group: min = 1
Family: Gaussian avg = 1.6 Correlation: exchangeable max = 11 Wald chi2(1) = 57.58
Scale parameter: 12012.05 Prob > chi2 = 0.0000

---------------------------------------------------------------------
cd4_slope| Coef. Std. Err. z P>|z| [95% Conf. Interval]
---------+----------------------------------------------------------- ON_ARTs | 20.13073 2.652914 7.59 0.000 14.93111 25.33034
_cons | -23.04211 2.331146 -9.88 0.000 -27.61107 -18.47315
---------------------------------------------------------------------

B. xtgee cd4_slope ON_ARTs, i(patient) fam(gaussian) link(id) corr(exc)

Iteration 1: tolerance = .08330006
Iteration 2: tolerance = .00242865
Iteration 3: tolerance = .0000264
Iteration 4: tolerance = 2.804e-07

GEE population-averaged model Number of obs = 4927
Group variable: patient Number of groups = 3131
Link: identity Obs per group: min = 1
Family: Gaussian avg = 1.6
Correlation: exchangeable max = 11 Wald chi2(1) = 44.53
Scale parameter: 12005.77 Prob > chi2 = 0.0000

-------------------------------------------------------------------
cd4_slope| Coef. Std. Err. z P>|z| [95% Conf. Interval]
---------+----------------------------------------------------------
ON_ARTs | 17.71781 2.655046 6.67 0.000 12.51402 22.92161
_cons |-22.26446 2.335275 -9.53 0.000 -26.84151 -17.6874
-------------------------------------------------------------------


----------------------

Jonathan Sterne

Department of Social Medicine
University of Bristol
Canynge Hall
Whiteladies Road
Bristol BS8 2PR
UK

Tel: 0117 928 7396
Fax: 0117 928 7325
E-mail: jonathan.sterne@bristol.ac.uk
web: www.epi.bris.ac.uk

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