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st: Variance decomposition

From   "Michael Crain" <>
Subject   st: Variance decomposition
Date   Sun, 11 Mar 2007 07:44:48 -0500

I am trying to determine whether any Stata programs are available for variance decomposition.

Specifically, I am trying to conduct a variance components analysis to disaggregate the dispersion of rates of return on economic data. The mathematics of this were described in Searle, S. R. 1971. Linear Models. This methodology has been used in the industrial organization and management strategy literature. The framework explains the overall variance in rates of return by decomposing it into the sum of the variances of various factors plus an error term. The mathematics behind all of this is rather complex so I am wondering whether any Stata programs are available.

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