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

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Panel mixed-effects models |

Date |
Thu, 08 Mar 2012 16:19:59 -0500 |

If your panel id is panelID, try: xtmixed y || panelID: x, nocons which specifies that x is random across panels but the intercept is not. hth, Jeph On 3/8/2012 1:13 PM, Downey, Patrick wrote:

Hi David, Thanks for your response. As you suggested, I misspoke. I meant that I expect the individual effects to be correlated with the covariates (X), as you said, which violates the assumptions required for random individual effects. I agree with you that it is a bit odd to have random slopes and fixed intercepts, but I can't think of anything that would be wrong with it. It feels strange, but I haven't found any reason why it shouldn't be possible. -Mitch -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of David Hoaglin Sent: Thursday, March 08, 2012 1:04 PM To: statalist@hsphsun2.harvard.edu Subject: Re: st: Panel mixed-effects models 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.* * 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/ * * 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/

* * 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/

**Follow-Ups**:**Re: st: Panel mixed-effects models***From:*Sam Schulhofer-Wohl <sschulh1.work@gmail.com>

**References**:**st: Panel mixed-effects models***From:*"Downey, Patrick" <PDowney@urban.org>

**Re: st: Panel mixed-effects models***From:*David Hoaglin <dchoaglin@gmail.com>

**RE: st: Panel mixed-effects models***From:*"Downey, Patrick" <PDowney@urban.org>

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