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RE: st: Kenward-Roger method in Stata?


From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   RE: st: Kenward-Roger method in Stata?
Date   Fri, 4 Jun 2010 12:37:26 +0100

-hangroot- is a very nice command, but the official command -quantile- is also a direct way to check graphically whether a distribution is uniform, without any arbitrary decisions and with respect to all the information in the data. If the quantiles all line up (literally), then it's uniform. 

Nick 
[email protected] 

Maarten buis

If the standard standard errors work wel for your data, then
these p-value should follow a uniform distribution.  If I am
allowed some shameless self-promotion, I would say that I like
-hangroot-  for that. (see: -ssc d hangroot- and the 7th graph 
on <http://www.maartenbuis.nl/software/hangroot.html>). You can
also look at the coverage: if 5% of the samples have a p-value
less than .05. As the information necesary for computing this
coverage is contained in only 5% of the samples, you need a 
great many of those to get a reliable estimate, say 10,000, 
which means you would expect around 500 rejections.


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