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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: how to replicate Stata's random effects estimation results? |

Date |
Fri, 3 Sep 2010 01:10:57 +0100 |

An alternative is look directly at the code Stata uses for random effects. This can be found in the ado file xtreg_re.ado, which is sitting in your ..ado\base\x folder. Reading Stata code isn't easy, but I think in this case it's a practical suggestion. Looking at the code, I can see that the first 200 lines or so are mainly taken up with data preparation and obtaining the estimate of theta used for quasi-demeaning. Once this is obtained, the code is very simple and there is in fact an internal call to -regress- to get the RE results (just after the comment in the file that says "obtain random-effects estimates"). Replicating the RE results thus amounts to replicating the derivation of theta, which is either a constant (in the case of balanced data) or a column vector. There is an option to report theta, so you can start by replicating the RE estimator for balanced data by quasi-demeaning by hand using the reported theta. The code for deriving theta looks pretty messy, though, I must confess. --Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Stas Kolenikov > Sent: 02 September 2010 23:21 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: how to replicate Stata's random effects > estimation results? > > You can probably replicate -xtreg-, re- using Mata, but to > get as far down as -regress-, you would need to perform a > special transformation of the data by the inverse square root > of the covariance matrix of all observations (the Kronecker > product of the identity matrix and the covariance matrix of > residuals if the data are homoskedastic and balanced). This > will give you some insight into numerics such as Cholesky > decomposition of a matrix, but I doubt one can benefit > greatly from trying to get this by hand. > > On Thu, Sep 2, 2010 at 9:02 AM, Ada Ma <heu034@googlemail.com> wrote: > > Statalisters, > > > > I want to replicate Stata's Random Effects estimates using only the > > -regress- command, to gain better understanding as well as to do > > something that the current -xtreg- command wouldn't allow me to do. > > > > Do you know of any demonstration where people have been able to > > replicate Stata's RE estimates by hand? Or journal articles that > > describe exactly how the RE estimates are calculated? I > have looked > > through several econometrics textbooks and it is not entirely clear. > > > > Many thanks in advance. > > > > Regards, > > Ada > > > > > > -- > > Ada Ma > > Research Fellow > > Health Economics Research Unit > > University of Aberdeen, UK. > > http://www.abdn.ac.uk/heru/ > > Tel: +44 (0) 1224 555189 > > Fax: +44 (0) 1224 550926 > > * > > * For searches and help try: > > * http://www.stata.com/help.cgi?search > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > > > -- > Stas Kolenikov, also found at http://stas.kolenikov.name > Small print: I use this email account for mailing lists only. > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: how to replicate Stata's random effects estimation results?***From:*Ada Ma <heu034@googlemail.com>

**Re: st: how to replicate Stata's random effects estimation results?***From:*Stas Kolenikov <skolenik@gmail.com>

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