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From |
Joerg Luedicke <joerg.luedicke@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Wald test in Random Coefficient Model |

Date |
Fri, 25 Feb 2011 10:05:49 -0500 |

On Fri, Feb 25, 2011 at 4:05 AM, Maarten buis <maartenbuis@yahoo.co.uk> wrote: > The bahavior of this test is not quite what we would expect. > The problem is that the null hypothesis is on the boundary of > the parameter space, i.e. the null hypothesis is that the > country level variance equals 0, and a variance can only be >>= 0. There is a discussion of that in (Gutierrez et al. 2001). That's right. I guess the rule of thumb in this case would be to divide the p-value by 2? In any case, testing whether some variance is greater than zero or not is of limited use anyway. I mean, you can always quantify the variability and go from there. Attaching a p-value to that does not add a lot of information (if any). Let's take OP's case of 40 countries and some 1000 individuals per country as an example. If you would find some small variation of coefficient x which is "not significantly different from zero" would one conclude that this effect varied slightly across countries but it may be the case that this merely happened by chance? This does not make a lot of sense, especially in the case of what is basically a convenience sample. Those 40 countries basically do not represent anything, they are just that, those 40 countries. J. * * 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/

**Follow-Ups**:**Re: st: Wald test in Random Coefficient Model***From:*Stas Kolenikov <skolenik@gmail.com>

**References**:**Re: st: Wald test in Random Coefficient Model***From:*Joerg Luedicke <joerg.luedicke@gmail.com>

**Re: st: Wald test in Random Coefficient Model***From:*Maarten buis <maartenbuis@yahoo.co.uk>

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