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Re: st: bug in -xtmelogit-?


From   Jeph Herrin <junk@spandrel.net>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: bug in -xtmelogit-?
Date   Sat, 05 Sep 2009 16:34:12 -0400

Thanks - that makes sense.

Roberto G. Gutierrez (StataCorp) wrote:
Jeph Herrin <junk@spandrel.net> asks:

By accident I coded the following

   xtmelogit depvar var1 || groupid: var2, cov(unstructured) var

Note that var2 is not in the equation, but I have specified it as
a random coefficient. After puzzling over my results for some time
I discovered my error, but I am surprised that -xtmelogit- did not
discover it for me. What exactly was it estimated for the variance
of the coefficient on -var2-? Is this a bug?

Not a bug, but instead something you probably don't want to do statistically.
By leaving -var2- out of the first equation, you estimated the variance across
groups (-groupid-) of the coefficient on -var2-, but you imposed the
constraint that the mean across groups is exactly zero.  It is akin to leaving
main-effects terms out of a model with interactions.

--Bobby
rgutierrez@stata.com
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