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st: Hierarchical model

From   Evans Jadotte <>
Subject   st: Hierarchical model
Date   Fri, 02 Oct 2009 11:26:36 +0200

Dear statalisters,

I am estimating a linear three-level hierarchical model via "restricted maximum likelihood-REML" with the /xtmixed/ command, with households (level-1) nested into villages (level-2) nested into regions (level-3). Specification seems alright. However, the empirical Bayes random intercept at level-3, which according to theory should be inferior or equal to the corresponding calculated REML estimate, do not reflect the REML estimate that I calculated at that level. Specifically, I have an empirical Bayes (the BLUP r.e. computed by Stata) that is more than 300 times the REML estimate calculated at level-3. At level-2 it seems reasonable, empirical Bayes = 0.87 REML estimate.

Moreover, I expected the sum of the variances (that of raw residuals at level-1 + that of residuals REML level-2 + that of residuals REML level-3). When I compute them however, the result gives an estimated total variance that is lower than that of the raw residuals at level-1.

I am pretty confident about the model specification and the computation but evidently things do not match as they should. Can anyone familiar with these models give me any feedback? I would so much appreciate and thanks in advance.

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