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From |
Jeph Herrin <stata@spandrel.net> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: -xtlogit- vs -xtmelogit- and predicted random effects |

Date |
Sat, 26 Nov 2011 09:55:49 -0500 |

I have a random effects logit model which I would like to bootstrap in order to get confidence intervals on the random effect terms. The model has a single random intercept, and I can estimate it two different ways: xtset groupid xtlogit depvar indvar1 indvar2 or xtmelogit depvar indvar1 indvar2 || groupid: These two models give nearly identical results, which is good, but while the first model takes 6 minutes to run, the second takes 123 minutes (!). Since I am bootstrapping 1000 samples, only -xtlogit- is practical. However, despite StataCorp's assurance 4 years ago that it would look into providing predicted random effects after estimation using -xtlogit-: http://www.stata.com/statalist/archive/2007-03/msg00135.html this feature is still not available. My questions: 1) I cannot find an estimation option for -xtmelogit- to match the adaptive quadrature of -xtlogit-, which would presumably speed it up. Is there one that I am missing? 2) Or, has someone else looked under the hood of -xtlogit-, as it were, and written some code for getting the predicted random effects? 3) This is for StataCorp: any progress on adding this postestimation option to -xtlogit-, per the above posting? Much to my chagrin - this was for a revise and resubmit on a manuscript, so we had a very short time to work - I gave this problem to a SAS-using colleague, who ran it in GLIMMIX in the course of day. GLIMMIX uses pseudo ML, which I know doesn't do as good a job of estimating the random effect terms, but in a pinch one has to do what one can - however, I would be very pleased to have a Stata solution (that does not take 3 months to run). thanks, Jeph * * 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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