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Re: st: negative variance?

From   Stas Kolenikov <>
To   "" <>
Subject   Re: st: negative variance?
Date   Tue, 25 Jun 2013 08:51:59 -0500

The standard reference that you would want to start working off is
Self & Liang (1987),; I wrote a couple
of papers on this in the context of structural equation models, see and Your variance
component does not seem to be identified: the likelihood is flat with
respect to it, which is odd, but I am sure that if I had an extra half
an hour, I would generate an example in Stata to demonstrate this.
(The simplest case is when you have just one observation per unit at a
given level, so there is no information for within-level variation.)
The parameterization of either -xtmelogit- or -gllamm- rules out
negative variance estimates, as they transform the coefficient to be
non-negative (although probably in different ways).

-- Stas Kolenikov, PhD, PStat (SSC)
-- Senior Survey Statistician, Abt SRBI
-- Opinions stated in this email are mine only, and do not reflect the
position of my employer

On Tue, Jun 25, 2013 at 6:11 AM, Hanne F <> wrote:
> Hi,
> I am currently using a two-level random slope model, logistic regression.
> The reason I use multilevel is to control for a possible design effect. I am
> using xtmelogit, but I already tried glamm and xtlogit as well. I have data
> for three measurements. When running the same model on the first two
> measurements, I do not experience any problems. By contrast, for the third
> measurement, I do not seem to get an accurate estimation of the second level
> variance. Sd_cons is virtually zero, and the confidence interval is also
> odd: I get exactly 0 as a lower point, and a '.' as upper bound. The p-value
> indicating whether or not it is necessary to use a multilevel design gives
> exactly zero. Can anyone tell me why this is the case?
> In a multilevel course based on MLWin I learned that in this case you should
> 'allow for negative variance'. Can anybody please tell me how I could do
> this with Stata?
> thank you very much in advance!!
> best regards,
> Hanne
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