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Re: st: Significance of the variance of GLLAMM random intercept


From   Stas Kolenikov <skolenik@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Significance of the variance of GLLAMM random intercept
Date   Mon, 5 Mar 2012 12:11:25 -0500

On Mon, Mar 5, 2012 at 11:12 AM, Maarten Buis <maartenlbuis@gmail.com> wrote:
> On Mon, Mar 5, 2012 at 4:57 PM, junqing liu wrote:
>> I fitted a three level random intercept model using the gllamm. I
>> would like to test whether the variances of the random intercepts at
>> level 2 and level 3 are significant. But i am not sure how to conduct
>> the test. Any suggestions much appreciated.
>
> That is actually a very hard test as it is on "the boundary of the
> parameter space", that is, a variance can meaningfully take values
> larger than or equal to 0, so 0 is on the boundary of meaningful
> values for that parameter. Weird things happen there. See -help
> j_chibar- and
>
> Gutierrez, R., S. Carter, and D. M. Drukker. 2001. On boundary-value
> likelihood-ratio tests. Stata Technical Bulletin 60: 15–18.
> <http://www.stata.com/products/stb/journals/stb60.pdf>

I would also add that the standard technical reference is Self & Liang
(1987 JASA), see links at
http://www.citeulike.org/user/ctacmo/article/892892.

-- 
Stas Kolenikov, also found at http://stas.kolenikov.name
Small print: I use this email account for mailing lists only.

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