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From |
Tom Trikalinos <ttrikalin@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Estout after xtmixed with ar(1) residuals |

Date |
Mon, 22 Mar 2010 10:53:08 -0400 |

read kit's post for good suggestions if not solutions. kali epityxia apo kardias. take care, t On Mon, Mar 22, 2010 at 7:48 AM, Dimitris Pavlopoulos <Dimitris.Pavlopoulos@soc.kuleuven.be> wrote: > Thoma, > > I double checked it with my data and you are absolutely correct. I'll try to find out how to apply this with estout. > > eyxaristo, > Dimitris > ________________________________________ > From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Tom Trikalinos [ttrikalin@gmail.com] > Sent: Sunday, March 21, 2010 3:06 PM > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: Estout after xtmixed with ar(1) residuals > > Dimitri, > > It appears that Stata has parameterized their optimization a bit > differently than you (and I) expected. > > r_lns2ose is NOT the log(SE) of the residuals in level 1 of the > grouping variable. > It appears that Stata parameterizes the SE of the residuals in level 1 > of the grouping variable using the values at level 0 of the grouping > variable as a reference. > > log(SE_level1_of_grouping) = lnsig_e + r_lns2ose (i.e., r_lns2ose is > the log of the factor that multiplied by the SE of the residuals at > level 0 of the grouping variable, gives you the desired SE). > > not sure how you do it in estout. If there is no easier way, you can > always calculate the needed value, add it to the estimation results > and then run estout. > > take care > t > > I run this silly example: > > **************Code begins ******************** > > webuse nlswork > // make a grouping variable with 2 levels > gen race2 = (race>=2) > > > xtmixed ln_w grade age tenure if id<1000 || id: grade, /// > res(ar 1, t(year) by(race2)) > > // store the the numbers in the betas > mat betas = e(b) > > // these are the random effects parameters -- exp transformation, as you stated > di exp(el(betas,1,colnumb(betas,"lns1_1_1:_cons"))) > di exp(el(betas,1,colnumb(betas,"lns1_1_2:_cons"))) > > // this is the standard deviation of the residual group 1 -- exp > transformation of > // lnsig_e + r_lns2ose > di exp(el(betas,1,colnumb(betas,"lnsig_e:_cons"))+el(betas,1,colnumb(betas,"r_lns2ose:_cons"))) > > // you already know how to get the correlations. > > ****************code ends********************** > > > > > > > > > On Sun, Mar 21, 2010 at 8:20 AM, Dimitris Pavlopoulos > <Dimitris.Pavlopoulos@soc.kuleuven.be> wrote: >> Dear Thoma, >> >> thank you for your reply. I am doing what you suggest but it doesn't work. >> >> Specifically, in estout, I am using the transformation "transform(ln*: exp(@) exp(@) r_ln*: exp(@) exp(@) at*: tanh(@) (1-tanh(@)^2) r_atr*: tanh(@) (1-tanh(@)^2))", so I am calculating exp(r_lns2ose). Apparently it's not the correct transormation. >> >> best regards, >> Dimitris >> >> >> >> ________________________________________ >> From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Tom Trikalinos [ttrikalin@gmail.com] >> Sent: Thursday, March 18, 2010 5:23 PM >> To: statalist@hsphsun2.harvard.edu >> Subject: Re: st: Estout after xtmixed with ar(1) residuals >> >> Just guessing here -- you should be able to work out quickly if I'm >> right or wrong. >> >> Typically in an ML routine you would optimize for t=log( of an SD or a variance) >> this guarantees that the exp(t) (the SD or the variance) is non negative. >> >> So I'm guessing that to get your variance or SE it should be exp(r_lns2ose) >> >> Similarly for correlations. If they are allowed to range between -1 >> and 1, one probably optimizes for z=tanh^-1 of the correlation, as the >> tanh(z) is bounded between -1 and 1. >> However, in an autoregressive model the correlation should be between >> 0 and 1, no? So I would program the optimization so that the >> back-transformation is 0.5*tanh(z)+0.5 -- bounded between 0 and 1. I >> dunno what Stata does. >> >> Please, send an e-mail to the list when you've figured out. >> >> >> >> Thomas A Trikalinos MD, PhD >> >> Co-Director Tufts Evidence-based Practice Center >> Associate Director, Center for Clinical Evidence Synthesis >> >> Institute for Clinical Research and Health Policy Studies >> Tufts Medical Center | 800 Washington St | Boston, 02111 MA >> >> Phone: +1 617 636 0734 >> Fax: +1 617 636 8628 >> email: ttrikalinos@tuftsmedicalcenter.org >> >> >> >> >> On Thu, Mar 18, 2010 at 8:17 AM, Dimitris Pavlopoulos >> <Dimitris.Pavlopoulos@soc.kuleuven.be> wrote: >>> Dear all, >>> >>> I am trying to use estout after xtmixed (STATA 11 /SE). I am using a model with random slopes and an ar(1) stucture for the residuals. Stata 11 allows the estimation of separate correlation and residual standard deviation according to the values of a categorical variable. I have used this feature for a binary variable. >>> >>> My problem is that I cannot find which function is estout using to transform the standard deviation of the residuals that corresponds to value 1 of the grouping variable. So, for the residuals estout present: >>> >>> lnsig_e: variance for residuals corresponding to value 0 of grouping variable >>> r_atr1: autoregressive correlation corresponding to value 0 of grouping variable >>> r_lns2ose: variance for residuals corresponding to value 1 of grouping variable >>> r_atr2: autoregressive correlation corresponding to value 1 of grouping variable >>> >>> for lnsig_e, I need to exponantiate to get the standard deviation >>> For r_atr1 and r_atr2, I am using the tanh() function. >>> >>> Does anybody know what function do I have to use to get the standard deviation from r_lns2ose? >>> >>> Thanks in advance? >>> >>> best regards, >>> Dimitris >>> * >>> * 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/ >>> >> >> * >> * 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/ >> >> * >> * 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/ >> > > * > * 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/ > > * > * 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/ > * * 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/

**References**:**st: Estout after xtmixed with ar(1) residuals***From:*Dimitris Pavlopoulos <Dimitris.Pavlopoulos@soc.kuleuven.be>

**Re: st: Estout after xtmixed with ar(1) residuals***From:*Tom Trikalinos <ttrikalin@gmail.com>

**RE: st: Estout after xtmixed with ar(1) residuals***From:*Dimitris Pavlopoulos <Dimitris.Pavlopoulos@soc.kuleuven.be>

**Re: st: Estout after xtmixed with ar(1) residuals***From:*Tom Trikalinos <ttrikalin@gmail.com>

**RE: st: Estout after xtmixed with ar(1) residuals***From:*Dimitris Pavlopoulos <Dimitris.Pavlopoulos@soc.kuleuven.be>

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