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Re: st: Panel mixed-effects models


From   David Hoaglin <dchoaglin@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Panel mixed-effects models
Date   Thu, 8 Mar 2012 13:03:38 -0500

The random-effects model does not assume absence of correlation
between individual effects (e.g., random intercepts) and Y.  Indeed,
such effects are often the main source of the correlation structure
for Y.  Did you have in mind the assumption that the random effects
are not correlated with the covariates (here, X_it)?  It seems a
little odd to have random slopes but fixed intercepts.

David Hoaglin

On Thu, Mar 8, 2012 at 12:12 PM, Downey, Patrick <PDowney@urban.org> wrote:
> Hello,
>
> I am trying to estimate a panel model of the form:
> Y_it = a_i + a_t + B_i * X_it + e_it
>
> I would like to use fixed effects for both of the 'a' coefficients because
> I believe that the individual-effects are correlated with Y (so the
> assumptions for random effects are not met). That would be a simple two-way
> fixed effects model. However, I would like to use random effects for the B
> coefficient. Thus, I want to assume B_i = B + n_i, where n_i is a normally
> distributed random variable.
>
> I cannot figure out how to estimate this model in Stata. It seems that
> xtmixed should be able to handle it, but with large N or large T, I think
> there are complications. I couldn't find examples (for xtmixed or xtrc)
> that use fixed effects for individual- or time- effects but random slope
> coefficients, although I think this is possible.
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