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RE: Re: st: GLLAMM multinomial: tremendous instability


From   "Verkuilen, Jay" <JVerkuilen@gc.cuny.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: Re: st: GLLAMM multinomial: tremendous instability
Date   Wed, 3 Dec 2008 14:35:39 -0500

>As a matter of fact, the random effects correlation equal to 1 problem has not ceased to exist and I would be much obliged if you could post me any references you might have come accross on this.<

I would guess that you don't have an identified model. I'm not sure if it's mathematically identified or not or simply empirically, i.e., your data don't really tell you anything about the parameter. It is very easy to write a plausible model that is only weakly identified---I've done it many times and I'm sure everyone else has. 

Alternatively, you could have a random effect term that really "wants" to be 0 and thus has a profile likelihood piled up on 0. This can often cause odd things to happen in the random effects covariance matrix if it's been constrained to be positive semi-definite. Estimation breaks down in the presence of really small random effects. 

Start deleting random effects and see if it goes away. An alternative (and maybe better) strategy would be to start from a model you know is identified, e.g., the multinomial choice model with no random effects, and add RE terms in an order determined by theory. 

JV


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