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st: Re: Wondering why default estimation in xtmixed was changed from REML
From
[email protected] (Yulia Marchenko, StataCorp LP)
To
[email protected]
Subject
st: Re: Wondering why default estimation in xtmixed was changed from REML
Date
Wed, 07 Dec 2011 14:41:19 -0600
Bill Simpson <[email protected]> asks what prompted the change in the default
estimation method of -xtmixed- from REML to ML in Stata 12:
> Does anyone know why xtmixed changed from REML to MLE for the default
> estimation method in version 12? My understanding is that REML estimates of
> variance components are less biased than MLE.
As of Stata 12, the -xtmixed- command supports sampling weights and
cluster/robust standard errors. These features are only available with ML
estimation. As such, the default estimation method of -xtmixed- was changed
to ML.
For small samples, Bill is right that the REML estimates of variance
components are less biased than the ML estimates. So, if you have a small
number of groups, you would want to switch to REML estimation by specifying
the -reml- option with -xtmixed-. When the number of groups is large, the
REML and ML estimates will be close.
-- Yulia
[email protected]
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