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st: xtmixed - model fit and modeling questions

From   "Hillel Alpert" <[email protected]>
To   <[email protected]>
Subject   st: xtmixed - model fit and modeling questions
Date   Thu, 28 Sep 2006 13:34:28 -0400

The first question is on fitting an xtmixed model.

While fitting models on unbalanced data using xtmixed, I encounter the following comment messages:

"Hessian becomes unstable or assymetric"

"Not concave"

How can these be addressed; for example which types of variables or parameter would be best to drop?

Would selecting out cases based on rare values of a variable (for example the first year in which there were few
observations) be useful?

The second question is on testing individual effects in the model:

How can we test whether a time-trend observed for the panel overall is seen across individual subjects on the panel and
how can we differentiate for which ones the time-effect is seen and for wihich it is not?

I have seen an example using the post-estimation "test" command to compare the model with time as random effect in the
nesting of individuals with the model without this effect. The example shows time included as a fixed effect as well,
although I wonder why it is included in both places.

xtmixed hamd week endog || id: week

This syntax results in repeated iterations with the message, "numerical derivatives are approximate  nearby values are
missing" running with the present data set. This set has 320 individuals nested in groups.

Answers to or help with these questions would be greatly appreciated.

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