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st: -gllamm- vs -meglm-


From   Jeph Herrin <stata@spandrel.net>
To   statalist@hsphsun2.harvard.edu
Subject   st: -gllamm- vs -meglm-
Date   Thu, 27 Jun 2013 10:28:07 -0400


This is my first use of the new mixed effects GLM routine in Stata 13, and I am trying to reproduce results I have using -gllamm- from SSC. My question pertains to the use of the -startgrid()- option.

Using -gllamm- I estimated

. gllamm depvar, i(id) link(log) family(poisson)

which after 5 iterations reports:

------------------------------------------------------------------------------
      depvar |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       _cons |   3.392516   .0015251  2224.39   0.000     3.389527    3.395505
------------------------------------------------------------------------------

Variances and covariances of random effects
------------------------------------------------------------------------------
***level 2 (id_hrr)
    var(1): .00598911 (.00020843)
------------------------------------------------------------------------------


However, every attempt to estimate this model using the new -meglm-

. meglm depvar || id:, link(log) family(poisson)

gives me "initial values not feasible". I have tried all four different startvalue() options, and many different -startgrid() options, with no success.

In particular, I would think that using the above variance estimate in -startgrid()- would be a reasonable initial value, but

. meglm depvar || id:, link(log) family(poisson) startgrid(.005989)

also produces "initial values not feasible". Anyone have any thoughts on why one model converges quickly and the other not at all? I have 30k obs in 100 groups.

thanks,
Jeph
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