> I want to know the relationship and differences between 
  them?
> and how about Proc mixed and xtmixed in Stata.
> Many 
  thanks.
>
You can do more with Proc Mixed than with xtmixed. 
  xtmixed is 
essentially version 1.0, whereas Proc Mixed has been through 
  much 
more development. So if you expect to find yourself doing a lot of 
  
mixed models with some variety of design, Proc Mixed is something to 
  
consider. For xtmixed and xtgee, xtgee is not a multilevel command 
  
like xtmixed (the multilevel syntax of xtmixed is something Stata is 
  
rightly proud of). However if you've just got one nested level, xtgee 
  
is fine and allows for modeling both continuous and categorical 
  
dependent variables, which xtmixed does not.
-Dave
*
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