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Re: st: gllamm or xtmixed models?


From   Alfonso Sánchez-Peñalver <alfonso.statalist@gmail.com>
To   Stata List <statalist@hsphsun2.harvard.edu>
Subject   Re: st: gllamm or xtmixed models?
Date   Mon, 3 Feb 2014 16:11:48 -0500

Hola Antonio,

the short answer is no, because you can’t have a fixed and random slope at the same time. Including country after the colon indicates that the slope on x2 is a random variable across countries. Including it in the main equation you assume that it is a fixed parameter. It can’t be both.

Best,

Alfonso Sánchez-Peñalver, PhD

Visiting Assistant Professor
Suffolk University
Senior Instructor
UMass Boston



On Feb 3, 2014, at 2:41 PM, Antonio Rodriguez Andres <Antonio.Andres@emu.edu.tr> wrote:

> Alfonso
> 
> Can I specify the following model in xtmixed
> 
> xtmixed depression x1 x2 x3 || country : x2
> 
> Is incorrect to assume that the variable x2 (age let us say) vary across
> countries (random slope) and at the same time is included as regressor?
> 
> Antonio
> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Antonio Rodriguez
> Andres
> Sent: Friday, January 31, 2014 11:27 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: st: gllamm or xtmixed models?
> 
> Alfonso
> 
> Thank you for your answer. As far as I understood, as the observations are
> clustered within countries. I have to account this in my model and use a two
> multilevel model. What I can try is a fixed effects model with clustering at
> country level
> 
> xtreg dv iv, fe vce (cluster country)
> 
> I should also use the xtset command but I do not have a real panel. Usually
> we declare with xtset id year (both dimensions of the panel data ) but here
> it is only a cross section
> 
> Can I type
> 
> xtset id  country  (1 level and second level)?
> 
> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Alfonso
> Sánchez-Peñalver
> Sent: Thursday, January 30, 2014 10:31 PM
> To: Stata List
> Subject: Re: st: gllamm or xtmixed models?
> 
> Hi again Antonio,
> 
> I haven't used -gllamm- (SSC) but my understanding is that you will also be
> able to estimate the random effects with it. The fixed effects can be
> estimated in two different ways:
> 
> 1. Pooled OLS (-regress-) with a dummy variable for each country and no
> constant (-nocons- option) 2. -xtreg- with fe option
> 
> For the second option you will have to first use -xtset- to identify which
> is the level 2 (cluster) variable (country) and the level 1 variable (the
> individuals).
> 
> As for random slopes, consider the random effects model. The random effects
> model assumes that the intercept is a random variable across countries. What
> if the intercept is not the only thing that varies across countries? What if
> the effect (slope) of a certain variable (age let's say) also varies across
> countries? You can include that variable in the random part of the command
> to let the slope be a random variable as well. So for example, going back to
> your syntax, assume that you believe the coefficient on x2 to be random as
> well, you can type:
> 
> xtmixed depression x1 x3 || country: x2
> 
> Best,
> 
> Alfonso Sánchez-Peñalver, PhD
> 
> Visiting Assistant Professor
> Suffolk University
> Senior Instructor
> UMass Boston
> 
> 
> 
> On Jan 30, 2014, at 3:09 PM, Antonio Rodriguez Andres
> <Antonio.Andres@emu.edu.tr> wrote:
> 
>> Alfonso
>> 
>> Thank you for your answer.  On this way, can I estimate the fixed 
>> effects for each country? What do they mean by random slopes for all data?
>> This can be done using the xtmixed or gllamm command?
>> 
>> 
>> 
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Alfonso 
>> Sánchez-Peñalver
>> Sent: Thursday, January 30, 2014 9:58 PM
>> To: Stata List
>> Subject: Re: st: gllamm or xtmixed models?
>> 
>> Hola Antonio,
>> 
>> I believe the correct syntax for the random effects model estimated 
>> via maximum likelihood would be
>> 
>> xtmixed depression x1 x2 x3 || country:
>> 
>> Alfonso Sánchez-Peñalver, PhD
>> 
>> Visiting Assistant Professor
>> Suffolk University
>> Senior Instructor
>> UMass Boston
>> 
>> 
>> 
>> On Jan 30, 2014, at 2:52 PM, Antonio Rodriguez Andres 
>> <Antonio.Andres@emu.edu.tr> wrote:
>> 
>>> Dear stata users
>>> 
>>> I want to estimate multilevel models as I have observations for 
>>> individuals across countries.  My dependent variable İs a measure of 
>>> mental health ranging from 0 to 24. I want to use hierarchical linear 
>>> models with fixed effects and random effects for countries. The 
>>> correct syntax is:
>>> 
>>> xtmixed depression   x1 x2 x3   || i(country)
>>> 
>>> Any clue
>>> 
>>> Regards
>>> 
>>> Antonio
>>> 
>>> 
>>> 
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