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Re: st: Variance decomposition


From   "baumeister.sebastian@web.de" <baumeister.sebastian@web.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Variance decomposition
Date   Sun, 11 Mar 2007 20:04:58 +0100

yes I was also thinking that this paper actually describes what you need.

SJ-6-1  st0095  . . . . . . . . . . .  Estimating variance components in Stata
        . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Y. Marchenko
        Q1/06   SJ 6(1):1--21                                    (no commands)
        describes using xtmixed to estimate variance components
        in linear models


but in fact from what you are asking it could also just be ANOVA.

sebastian



Michael Crain schrieb:

I am trying to determine whether any Stata programs are available for
variance decomposition.

Specifically, I am trying to conduct a variance components analysis to
disaggregate the dispersion of rates of return on economic data.  The
mathematics of this were described in Searle, S. R. 1971. Linear
Models.  This methodology has been used in the industrial organization
and management strategy literature.  The framework explains the
overall variance in rates of return by decomposing it into the sum of
the variances of various factors plus an error term. The mathematics
behind all of this is rather complex so I am wondering whether any
Stata programs are available.

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