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From |
ymarchenko@stata.com (Yulia Marchenko, StataCorp LP) |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: xtlogit (version 9 and 10) and xtmelogit |

Date |
Fri, 14 Sep 2007 17:37:09 -0500 |

Xiao Chen <jingy1@ucla.edu> asks about the differences in estimation results after -xtlogit, re- in Stata 9 and Stata 10 and compares these results to the new -xtmelogit- command. > I noticed some changes to xtlogit for the random effect models from stata 9 to > stata 10. Now the results using xtlogit in stata 10 are slightly different > from using xtlogit in stata 9. I wonder if someone could explain what the > implication of this difference is. As of Stata 10, all -xt- random-effects estimation commands use a new default numerical method of approximating the likelihood function. The new method is described in [XT] xtlogit on p. 216 and corresponds to the -intmethod(mvaghermite)- option of -xtlogit-. The differences Xiao observes are most likely due to this. > Now Stat 10 has xtmelogit for general random effect models, not just random > intercept models. Comparing xtmelogit and xtlogit for random intercept model, > it seems that there is some small numeric difference as well. Would it be > possible to match the results from the two commands by adding some options to > either xtlogit or xtmelogit? By default, -xtlogit, re- approximates the likelihood by using the mean and variance adaptive Gauss-Hermite quadrature method (-intmethod(mvaghermite)-) with 12 integration points (-intpoints(12)-). -xtmelogit- uses the adaptive Gauss-Hermite approximation based on the mode and its curvature with 7 integration points (see Methods and Formulas sections of [XT] xtmelogit and [XT] xtlogit for details). In order to obtain more similar results from -xtlogit, re- and -xtmelogit-, Xiao should increase the number of integration points to 12 in -xtmelogit- and request -intmethod(aghermite)- approximation method with -xtlogit-. For example, . xtlogit ..., re intmethod(aghermite) and . xtmelogit ..., intpoints(12) -- Yulia ymarchenko@stata.com * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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