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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: GLLAMM versus XTMEPOISSON |

Date |
Tue, 12 Feb 2013 12:41:41 -0600 |

Jay, You're probably right (about me mixing up things) -- the best advice would be to look up GLLAMM manuals, of course. I know for sure that GLLAMM uses Cholesky parameterization somewhere; and I am sure that Sophia does the back-transformations properly when presenting the results. So an easy check would be to nlcom ( exp(_b[lns1_1_1:_cons]) ) ( exp( _b[lns1_1_2:_cons]) ) and see if they agree with the results printed out. If both do, then that's the parameterization of the whole covariance matrix. If the first one does, but the second one doesn't, then it is the parameterization of Cholesky transform. -- -- Stas Kolenikov, PhD, PStat (SSC) :: http://stas.kolenikov.name -- Senior Survey Statistician, Abt SRBI :: work email kolenikovs at srbi dot com -- Opinions stated in this email are mine only, and do not reflect the position of my employer On Tue, Feb 12, 2013 at 11:54 AM, JVerkuilen (Gmail) <jvverkuilen@gmail.com> wrote: > On Tue, Feb 12, 2013 at 12:03 PM, Stas Kolenikov <skolenik@gmail.com> wrote: >> Ana, >> >> these are the parameters of the Cholesky decomposition of the >> variance-covariance matrix. The lns are the natural logs of the >> diagonal elements, and atr is the (hyperbolic?) arctan of the >> correlation. > > Stas, I think you might be mixing up two different paramaterizations > for the covariance matrix. The Cholesky is one (essentially > decomposing the covariance matrix C = TT', where T is a lower > triangular matrix), and the logarithmic is another, where the > variances and covariances are expressed as exponential terms with > estimation on the logs and correlations are Fisher Z (inverse > hyperbolic tangent), but otherwise spot on advice. > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/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/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**References**:**st: GLLAMM versus XTMEPOISSON***From:*Ana Cecilia Montes Vinas <ac.montes393@uniandes.edu.co>

**Re: st: GLLAMM versus XTMEPOISSON***From:*Stas Kolenikov <skolenik@gmail.com>

**Re: st: GLLAMM versus XTMEPOISSON***From:*"JVerkuilen (Gmail)" <jvverkuilen@gmail.com>

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