A new Stata command for estimating confidence intervals for the variance component of random-effects linear models

Matteo Bottai () and Nicola Orsini
Additional contact information
Matteo Bottai: Arnold School of Public Health, University of South Carolina, Columbia, SC

United Kingdom Stata Users' Group Meetings 2004 from Stata Users Group

Abstract: The Stata command xtreg estimates the random-effects linear regression model, for which the random effects are assumed to be normally distributed with zero mean and non-negative variance, s^2_{i,t}. Testing homogeneity across units is equivalent to testing the null hypothesis H_0: s^2_{i,t} = 0, which is a value on the boundary of the parameter space. The command xtreg provides the upper-tail probability of the appropriate asymptotic distribution of the likelihood ratio test statistic. However, such a method cannot be used to construct confidence intervals for the parameter s^2_{i,t}. Besides, confidence intervals for the random-effect variance that are based on a Wald-type test, too often used, can be shown to be asymptotically wrong. Based on the asymptotic theory for singular information problems, a method is developed and implemented in the Stata command xtci, which provides asymptotically-correct confidence intervals. Also, when testing the hypothesis of homogeneity across units, the proposed method is shown to have better small-sample properties than one based on the likelihood ratio test statistic.

Date: 2004-06-30
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:usug04:5

Access Statistics for this paper

More papers in United Kingdom Stata Users' Group Meetings 2004 from Stata Users Group Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().