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Re: st: GLLAMM modeling


From   "BORHANI, HOSSEIN" <hborhani@ersgroup.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: GLLAMM modeling
Date   Tue, 21 Aug 2007 05:59:39 -0700

Thank you Stas.  Do you have a recommendation for an entry level  reference for gllamm modeling (and its implementation in stata) beside the gllamm manual?
Thanks again,
Borhani 

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 -----Original Message-----
From: 	Stas Kolenikov [mailto:skolenik@gmail.com]
Sent:	Monday, August 20, 2007 10:38 PM Eastern Standard Time
To:	statalist@hsphsun2.harvard.edu
Subject:	Re: st: GLLAMM modeling

1e8 is probably large. 1e3 is unpleasant, but within the "typical"
range. It affects (i) the efficiency of nonlinear iteration steps, and
when extremely large, (ii) numerical accuracy. Very high number may be
a symptom of underidentification, although masked by nonlinearities
and approximations used by -gllamm-. To reduce this condition number,
try orthogonalizing and standardizing everything, so that variables do
not have wildly different scales and are centered nicely, although
that may help only partially.

On 8/20/07, BORHANI, HOSSEIN <hborhani@ersgroup.com> wrote:
> In GLLAMM manual regarding the "condition number" that appears in
> stata's output after you run a GLLAMM model it states:
>
> "The condition number will be large when the Hessian matrix is nearly
> singular indicating that the model may not well identified"
>
> What constitutes a "large" or a "low" condition number? Is there any
> criteria?
>
> Thank you,
> Borhani
>
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-- 
Stas Kolenikov, also found at http://stas.kolenikov.name

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