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st: unobserved heterogeneity and GLLAMM


From   Ognjen Obućina <obucina@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: unobserved heterogeneity and GLLAMM
Date   Thu, 3 Dec 2009 21:24:18 +0100

Dear all,

I am testing for unobserved heterogeneity in my regressions and the
idea was to use -xtlogit- and then look at the standard deviation of
the heterogeneity variance (sigma_u). But, I also need the robust
option, due to structure of my dataset. Basically, I need this:

xtlogit depvar indepvar, i(id) robust

However, xtlogit does not support the robust option. I have been
advised to use gllamm instead, as it does allow the robust option.
Now, my question is by what parameters in the gllamm output can I make
judgment about the potential frailty? In other words, is the value of
the variance that appears on the bottom of the gllamm output the
equivalent to the sigma-u value when using xtlogit? Many thanks in
advance,

Ognjen
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