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st: FW: Re: xtmixed slope cross validation

From (Yulia Marchenko, StataCorp LP)
To   "" <>
Subject   st: FW: Re: xtmixed slope cross validation
Date   Fri, 02 Dec 2011 14:46:33 -0600

Petra <> has a follow-up question about computing
BLUPs after -xtmixed- using test data after the model is fit using training

> however, I get all my people with empty values when i do this: my exact code
> is
>  . use:" data...."
>  * i have already a variable training =1 if it is training and 0 if it is test
>  . xi:xtmixed var1 days ....... if training==1 || id:days, reml cov(un)
>  . predict rs1 rs2 it training!=1, reffects
> why do you think this is? by the way im using stata10 ic
> do you think this may be the reason?

In this case, the most likely reason for getting missing values of BLUPs after
-predict, reffects- is that the group identifiers in the test data are
different from the group identifiers in the training data.  When creating a
training indicator, Petra needs to make sure that each group is represented in
both test and training datasets.  For example,

  . webuse pig, clear
    // set seed for reproducibility
  . set seed 287634
    // select 50% of obs within each group into a training sample
  . by id, sort: gen training = runiform()>0.5
  . xtmixed weight week if training || id: week
  . predict r* if !training, reffects
  . summarize r*

-- Yulia
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