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st: Reproducing xtlogit with xtmelogit


From   Thomas Klausch <thomas.klausch@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Reproducing xtlogit with xtmelogit
Date   Mon, 10 Aug 2009 18:56:19 +0200

Hello stata list member,

As I understand it should be possible to reproduce a random effects
logistic regression model that was fitted with xtlogit by using the
multilevel syntax of xtmelogit. But for my case it just does not seem
to work.

I have longitudinal data, i.e. respondents nested in days. First step
is that I want to fit an empty random intercept model, that is:

xtset respondents days
xtlogit dummy, re

Which gives me a fit using Gauss-Hermite Quadrature in reasonable
time, say 3 minutes for NxT=60,000.

Then giving

xtmelogit dummy || respondents:

Does give no fit. I was not sure what would be the correct syntax, maybe it is

xtmelogit dummy || respondents: ||days:

This takes forever to fit (I am not sure if the algorithm is ever
going to stop, It's still running after 1h waiting).

a. Am I specifying xtmelogit correctly?
b. Does xtmelogit use the same optimization algorithm as xtlogit?
c. What should be changed to yield the same results as with xtlogit?

Many thanks in advance.

Kind regards

Thomas
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