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RE: st: CI for ri variance after melogit


From   "Bontempo, Daniel E" <deb193@ku.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: st: CI for ri variance after melogit
Date   Wed, 31 Oct 2012 20:46:33 +0000

Thanks. This makes perfect sense.

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of JVerkuilen (Gmail)
Sent: Wednesday, October 31, 2012 2:13 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: CI for ri variance after melogit

On Wed, Oct 31, 2012 at 1:46 PM, Bontempo, Daniel E <deb193@ku.edu> wrote:

>
> Can someone explain why the nlcom CI gets smaller?

The one generated by -nlcom- is point estimate +/- 1.96*SE. This is the delta method estimate, whereas I suspect what the -xtmelogit- one does is work on the estimation metric, which is much better approximated by the normal, and then transformed back to the scale of a variance. The latter is much more accurate, for the same reason that you would generally not want to form a confidence interval for an odds ratio directly but instead work on the log-odds scale and then transform back.
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