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Re: st: Wald test in Random Coefficient Model


From   Joerg Luedicke <[email protected]>
To   [email protected]
Subject   Re: st: Wald test in Random Coefficient Model
Date   Thu, 24 Feb 2011 16:19:36 -0500

> My question is How do test the significance of randome coefficient
> variance at country level? I saw a few papers using wald statistics.
> Could you suggest how to get the walt statistic from the above output?
>  Is it this - Wald chi2(11)      =   2324.18?

I don't know what kind of Wald "test" those others are using. If that
is not clear from the paper you may bug the authors about that.
Anyway, the one that you mentioned (Wald chi2(11)      =   2324.18) is
no such "test" (this one is just what is sometimes referred to as an
"omnibus" test, basically telling you that at least one coefficient
from your model differs significantly from zero...).  However, what
you could do to check if the variation of the effect across country is
sort of considerable is to do a likelihood ratio test in which you
compare the model fit with and without the random coefficient (-help
lrtest-). If the model fits better in the case where variation of the
coefficient is allowed across countries it might make sense to further
investigate that. One thing that is definitely helpful in this context
is a caterpillar plot in which you plot the effect for each country
including confidence bounds (and e.g. order it from smallest to
biggest). From that you can immediately see to what extent the
coefficient varies across countries.

May I ask you what data that is? Is this some ISSP stuff?

HTH,

J.

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