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st: mixed effect model and autocorrelation

From   "[ISO-8859-1] Ola Sj÷berg" <>
To   "" <>
Subject   st: mixed effect model and autocorrelation
Date   Thu, 11 Oct 2007 09:07:20 +0200

Hi everyone,

This is the first time I try to post a question on the Statalist, and I 
hope someone out there can help me to understand my perhaps somewhat 
naive question.

I have an unbalanced dataset, covering 15 countries over 20 years. As 
usually with time-series data, there is significant autocorrelation that 
I somehow need to take into account. One option for analyzing this data 
would be what I would call "pooled time series regression", or the xtgls 
option in STATA. These models would allow me to take into account the 
autocorrelation. Another option would be a multilevel mixed-effects 
model (xtmixed), which I understand have some nice features: it can 
accommodate unbalanced data, and it will estimate variance components at 
different levels (over time and between countries).

Now to my question: How should I think about, and understand, the 
autocorrelation in the mixed effects model? With my (somewhat limited) 
experience with time-series data, I need to somehow take the 
autocorrelation into account. How is this done in a mixed-effect model? 
Since years are nested within countries, will the estimated standard 
errors be valid?

I hope someone can just give some hints on how to thick about this, or 
perhaps give me some suggestions on readings.



Ola Sj÷berg, Associate Professor of Sociology

Swedish Institute for Social Research
Stockholm University
106 91 Stockholm
Tel.: +46 8 162150
Fax: +46 8 154670
Home page:

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