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From |
rgutierrez@stata.com (Roberto G. Gutierrez, StataCorp) |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Random Coefficients in Crossed-Effects Models |

Date |
Thu, 10 Dec 2009 10:41:10 -0600 |

Andrew Spiegelman <aspiege@gmail.com> asks about fitting a mixed model with crossed random coefficients in addition to the standard crossed random intercepts: > I am using Stata MP version 10 in Windows.Â I would like to run a > crossed-effects model using xtmixed.Â Further, I would like this model to > have random coefficients in addition to the random intercepts it normally > produces.Â For example, a basic crossed-effects model looks like > xtmixed depvar indepvar || _all: R.groupvar1 || groupvar2: > where groupvar1 and groupvar2 are the two groups I would like to estimate > random effects for but would like them not to be nested within each other > (hence why I wish to use a crossed-effects model). But this model does not > appear to permit the use of random coefficients the way the more basic > xtmixed command does: > xtmixed depvar indepvar || groupvar: indepvar > In the above case my output will contain a random intercept organized by the > group groupvar and will also have a random coefficient on indepvar > associated with groupvar. > My question is, how can I get the random coefficient into a crossed-effects > model? Specifically, I'd like the random coefficient to occur in BOTH > groups. [...] Such a model is not straightforward in -xtmixed-, but it is possible to do this if you manually replicate the work that the "R." factor notation does for you. Begin by first generating a set of dummy variables that identify the groups defined by -groupvar1-: . tabulate groupvar1, gen(id1_) Then, generate interactions of these dummy variables with the independent variable on which you want to have random coefficients at the levels of -groupvar1-: . foreach var of varlist id1_* { gen `var'Xindepvar = `var' * indepvar } Finally, now that you have the variables -id1_*Xindepvar-, you can include these within -xtmixed- as an additional random-effects term at the "_all:" level: . xtmixed depvar indepvar || _all:R.groupvar || _all:id1_*Xindepvar, noconstant cov(identity) || groupvar2: indepvar That should do the trick. --Bobby rgutierrez@stata.com * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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