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Re: st: test for heterogeneity: streg with frailty(gamma) for weighted data


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: test for heterogeneity: streg with frailty(gamma) for weighted data
Date   Sun, 5 Aug 2007 21:04:13 +0100 (BST)

--- yan yu <yyu@ssc.wisc.edu> wrote:
> I have a problem with using streg for weighted data.  Unlike with
> unweighted data, streg with unshared gamma frailty for weighted data
> does not report a likelihood ratio test for unobserved
> heterogeneity. I used the code [pw=sampleweight] in stset to
> incorporate sample weights. I tried to do the likelihood ratio test
> manually, by running models with and without the frailty
> parameter. But this seemed not to work: The loglikelihoods from streg
> are substantially different between when frailty(gammma) is included
> (ll=-464), and when frailty is not included (ll=448).  With only 1
> degree of freedom, the difference in ll seems to be too big,
> considering that the theta estimate is .45 with a standard error of
> .48.
> 
> Do you have any idea about what is going on?  Could you suggest some
> appropriate test for heterogeneity?

The problem is you can't do a likelihood ratio test with robust, and
pweights imply robust. You can find more on this here:

http://www.stata.com/support/faqs/stat/lrtest.html

Normally you would do a Wald test instead, but I remember vaguely that
there were problems with a Wald test on variances in random effects
models, and frailty models are pretty similar... So I am stuck on this
one.

-- Maarten

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

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

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


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