Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

From |
"Airey, David C" <david.airey@vanderbilt.edu> |

To |
"statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |

Subject |
Re: st: Stumped...xtmixed and ANOVA F-stats not agreeing for balanced design |

Date |
Mon, 9 May 2011 08:24:44 -0500 |

. > I get the impression that the NOBOUND option of PROC MIXED is used more often > than not for diagnostic purposes for a nonpositive-definite G matrix, so it > might not be so much a difference between statisticians. > > Joseph Coveney You are right; I looked into the JMP 9 documentation (page 105, ch.5, Modeling and Multivariate Methods) and it says: "Though variances are always positive, it is possible to have a situation where the unbiased estimate of the variance is negative. This happens in experiments when an effect is very weak, and by chance the resulting data causes the estimate to be negative. This usually happens when there are few levels of a random effect that correspond to a variance component. JMP can produce negative estimates for both REML and EMS. For REML, there are two checkboxes in the model launch window: Unbounded Variance Components and Estimate Only Variance Components. Unchecking the box beside Unbounded Variance Components constrains the estimate to be non-negative. We recommend that you do not uncheck this if you are interested in fixed effects. Constraining the variance estimates leads to bias in the tests for the fixed effects. If, however, you are only interested in variance components, and you do not want to see negative variance components, then checking the box beside Estimate Only Variance Components is appropriate. If you remain uncomfortable about negative estimates of variances, please consider that the random effects model is statistically equivalent to the model where the variance components are really covariances across errors within a whole plot. It is not hard to think of situations in which the covariance estimate can be negative, either by random happenstance, or by a real process in which deviations in some observations in one direction would lead to deviations in the other direction in other observations. When random effects are modeled this way, the covariance structure is called compound symmetry. So, consider negative variance estimates as useful information. If the negative value is small, it can be considered happenstance in the case of a small true variance. If the negative value is larger (the variance ratio can get as big as 0.5), it is a troubleshooting sign that the rows are not as independent as you had assumed, and some process worth investigating is happening within blocks." -Dave * * 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/

- Prev by Date:
**st: RE: Quantile regression with fixed effects and first differences** - Next by Date:
**Re: st: bar graphs** - Previous by thread:
**Re: st: Stumped...xtmixed and ANOVA F-stats not agreeing for balanced design** - Next by thread:
**st: Midas** - Index(es):