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st: Missing standard errors with xtmixed


From   "Glenn Goldsmith" <glenn.goldsmith@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Missing standard errors with xtmixed
Date   Fri, 17 Oct 2008 16:23:56 +0100

I am trying to fit a linear mixed model using xtmixed with two random
coefficients and a random intercept, using the following syntax: 

xtmixed depvar xvar1 xvar2 [otherxvars] if touse || groupid : xvar1 xvar2,
covariance(unstruct)

The model appears to converge, but two of the standard errors are missing,
as shown below (all other standard errors are present):
 
----------------------------------------------------------------------------
--
  Random-effects Parameters  |   Estimate   Std. Err.     [95% Conf.
Interval]
-----------------------------+----------------------------------------------
--
groupid: Unstructured        |
                   sd(xvar1) |   .5210501   .0146728      .4930711
.5506168
                   sd(xvar2) |   .7152157   .0202753      .6765606
.7560793
                   sd(_cons) |   3.777054   .1089148      3.569505
3.996671
           corr(xvar1,xvar2) |  -.8403815          .             .
.
           corr(xvar1,_cons) |   .2627643   .0004142      .2619524
.2635758
           corr(xvar2,_cons) |   -.739374          .             .
.
-----------------------------+----------------------------------------------
--
                sd(Residual) |   .8609064   .0026954      .8556397
.8662056
----------------------------------------------------------------------------
--
LR test vs. linear regression:       chi2(6) =  6855.91   Prob > chi2 =
0.0000

I'm not sure how to interpret this. Does it mean that the model has not
actually converged? There are a number of "(not concave)" error messages in
the iteration log, but no problems are reported in the final 5 iterations.

Any suggestions for fixing the problem would be very gratefully received.
I'm reluctant to impose a covariance structure, as there's little reason to
think this is theoretically justified (indeed, part of my substantive
interest is in the unstructured covariance estimates). 

Thanks in advance,

Glenn.

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