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Re: st: RE: save iterations of xtmelogit - need to break/pause


From   "JVerkuilen (Gmail)" <jvverkuilen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: save iterations of xtmelogit - need to break/pause
Date   Thu, 9 May 2013 11:13:23 -0400

On Thu, May 9, 2013 at 10:37 AM, Jeph Herrin <stata@spandrel.net> wrote:
> To the other good tips offered here, I would add another. If you try to
> estimate your model as a linear probability model (that is, use -xtmixed-
> instead of -xtmelogit-) you will likely get a quick sense of whether you
> have too many levels and which ones they are. -xtmixed- typically converges
> much more quickly, and will indicate whether some of your random effects are
> essentially zero.

Good idea, especially if you're not modeling rare events and the
linear probability model is a not unreasonable proxy for the logistic
model.



> Generally, while it is frustrating to abandon 6 days of calculations, the
> slow convergence likely indicates that you headed down the wrong path.

Almost certainly this model will diverge, yes, or converge to
something untrustworthy, even if it does converge. If it can be run on
another machine it might be worth trying the linear probability
approach or other diagnostics. Even if the desired model converges I
wouldn't trust it without substantial amounts of specification
testing, such as varying the number of quadrature nodes, assumptions
about the random effects, etc.

-- 
JVVerkuilen, PhD
jvverkuilen@gmail.com

"They were careless people, Tom and Daisy - they smashed up things and
creatures and then retreated back into their money of their vast
carelessness, or whatever it was that kept them together, and let
other people clean up the mess they had made." -- F. Scott Fitzgerald
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