Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Panel mixed-effects models

From   David Hoaglin <[email protected]>
To   [email protected]
Subject   Re: st: Panel mixed-effects models
Date   Thu, 8 Mar 2012 13:03:38 -0500

The random-effects model does not assume absence of correlation
between individual effects (e.g., random intercepts) and Y.  Indeed,
such effects are often the main source of the correlation structure
for Y.  Did you have in mind the assumption that the random effects
are not correlated with the covariates (here, X_it)?  It seems a
little odd to have random slopes but fixed intercepts.

David Hoaglin

On Thu, Mar 8, 2012 at 12:12 PM, Downey, Patrick <[email protected]> wrote:
> Hello,
> I am trying to estimate a panel model of the form:
> Y_it = a_i + a_t + B_i * X_it + e_it
> I would like to use fixed effects for both of the 'a' coefficients because
> I believe that the individual-effects are correlated with Y (so the
> assumptions for random effects are not met). That would be a simple two-way
> fixed effects model. However, I would like to use random effects for the B
> coefficient. Thus, I want to assume B_i = B + n_i, where n_i is a normally
> distributed random variable.
> I cannot figure out how to estimate this model in Stata. It seems that
> xtmixed should be able to handle it, but with large N or large T, I think
> there are complications. I couldn't find examples (for xtmixed or xtrc)
> that use fixed effects for individual- or time- effects but random slope
> coefficients, although I think this is possible.
*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index