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st: Constructing the variance-covariance matrix, Sigma, after -xtmixed-
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From |
"Joseph Coveney" <[email protected]> |
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To |
<[email protected]> |
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Subject |
st: Constructing the variance-covariance matrix, Sigma, after -xtmixed- |
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Date |
Sun, 18 Oct 2009 14:13:51 +0900 |
With the linear model defined as
Y ~ N(Xbeta, Sigma)
with Sigma defined as the (block-diagonal) n × n variance-covariance matrix for
random effects as well as residual error, what is the best way to reconstruct
Sigma from the parameter estimates returned by -xtmixed-, i.e., e(b), and the
information in the random-effects portion of the command line (the stuff after
"||")?
The intended use of Sigma is for small to at most moderately sized datasets.
Joseph Coveney
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