Hi Amy
I Think the following soloution will give you what you want. The emans and standrad deviations of the random effects will be stored in um1-um4 and us1-us4.
. gen R_DR = R*DR
. eq int : const
. eq R : R
. eq DR : DR
. eq R_DR : R_DR
. gllamm y R DR R_DR , i(gvkey) nrf(4)eqs(int R DR R_DR) adapt
. gllapred u , u
I bit of caution though, 4 random effects is quite a lot for gllamm , especially with a continous outcome. You are likely to end up with a model that take hours (or even days) to converge. You might want to try with fewer integration points first and then increase them to get to the final solution:
. gllamm y R DR R_DR , i(gvkey) nrf(4)eqs(int R DR R_DR) adapt nip(3)
. matrix b = e(b)
. gllamm y R DR R_DR , i(gvkey) nrf(4)eqs(int R DR R_DR) adapt nip(8) from(b)
and the test if it was enough integration points with a final model:
. matrix b = e(b)
. gllamm y R DR R_DR , i(gvkey) nrf(4)eqs(int R DR R_DR) adapt nip(16) from(b)
Michael
----- Original Message -----
From: Amy Dunbar <[email protected]>
Date: Tuesday, July 13, 2004 4:05 am
Subject: st: gllamm question - estimating 4 random effects
> I have a PhD student who estimated the following equation using
> SAS proc
> mixed to generate variable firm- and time-specific coefficients.
>
> y = a0 + a1DR + (B0 +B0i + B0t)R + (B1 + B1i +B1t)R*DR
>
> where y is a firm-specific variable (earnings per share/price)
> DR = 1 if the return is negative (firms losing in the market)
> R = firm return
> i = 791 firms where the variable gvkey is unique for each firm
> t = 13 years
>
> I want to replicate her results using stata and I think I need to use
> gllaam. We want to use the standardized random effects, B0i and
> B1i, as
> variables in another model. I have Rabe-Sesketh & Everitt's
> Handbook, which
> discusses gllaam with continuous data (post-natal depression
> data), but
> where that model has a random intercept and one random slope, this
> model has
> 4 random coefficients.
>
> I know that I have to define the equations for the random effects,
> but I am
> confused about the time coefficients.
>
> gen R_DR = R*DR
>
> eq coeffB0i: R
> eq coeffB0t: ?
> eq coeffB1i: R_DR
> eq coeffB1t: ?
>
> gllamm y DR R R_DR, i(gvkey) nrf(4) eqs(coeffB0i coeffB0t coeffB1i
> coeffB1t)adapt
>
> Could someone help me learn how to estimate this model in Stata?
>
> Also, how do I get Stata to give me the individual coefficients by
> firm? Is
> there a command to standardize the coefficients?
> It appears that I use gllapred, but I'm not sure.
>
> Thank you.
>
> Amy Dunbar
> Department of Accounting
> School of Business
> University of Connecticut
> 2100 Hillside Road, Unit 1041
> Storrs, CT 06269-1041
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