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Re: st: xtmixed output


From   David Airey <david.airey@Vanderbilt.Edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtmixed output
Date   Mon, 27 Oct 2008 10:49:32 -0500

This is covered in Rabe-Hesketh and Skrondal's book available from Stata Press.

Note -xtreg- gives a z statistic as does -xtmixed- and -gllamm-. It is -regress- that give the t statistic.

According the authors, "The reason this statistic is called z instead of t is that a standard normal sampling distribution is assumed under the null hypothesis that B = 0 instead of a t distribution. The t distribution is a finite sample distribution whose shape depends on the degrees of freedom. For the variance components model, the finite sample distribution does not have a simple form, so Stata's commands used the asymptotic (large-sample) sampling distribution. (Some other software packages approximate the finite-sample distribution by a t distribution where the degrees of freedom are some function of the data.) ..."

and they go one from there...


On Oct 27, 2008, at 5:00 AM, Gabriele Schino wrote:

Dear Statalisters,

I have a (possibly silly) question about the output provided by xtmixed.

In testing the significance of the individual independent variables xtmixed provides a z value and a P value. This is in contrast with, for example, xtreg, that provides t, df and P values.

My question is: given that my sample is obviously finite, shouldn't xtmixed test significance using a statistic (like t) for finite samples? How do I attach a df to my test?

Thank you very much for your help.

All the best,
Gabriele Schino

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