st: Cross-level interaction with xtmixed

[Marc Peters <marcpeters32c@yahoo.se>]

Dear all, 

I am trying to run a multi-level OLS-regression with a cross-level interaction. My main model uses random intercepts (but not random slopes). 

I use the xtmixed command in Stata: 

xtmixed depvar indepvar1 indepvar2 indepvar3 indepvar|| groupvar:, var

In this model indepvar1 (continuous level-1 variable) becomes highly significant. Indepvar1 is the only level-1 variable in the model. I would like to see whether the effect of indepvar1 decreases if interacted with indepvar2 (a continuous level-2 variable with only four observed values). Since this is a cross-level interaction I need to sepcify a random slope model:

xtmixed depvar indepvar1 indepvar2 indepvar1*indepvar2 indepvar3 indepvar4|| groupvar: indepvar1, cov(un)

In this model both indepvar1 and indepvar1*indepvar2  becomes insignificant. When using the margins command to see the marginal effect of indepvar1 at the different levels of indepvar2, indepvar1 is insignificant at every level of indepvar2. I have a porblem understanding why this is or how to interpret these results. 

Rerunning model 1 with random slopes (but with no interactions) indepvar1 also gets insignificant. Is there a problem with how I have specified the models or how should I understand the results? Why is a variable insignificant with random slopes, but significant without them? 

Best, 

Marc 


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