XTMIXEDIOU: Stata module to estimate Linear mixed effects Integrated Ornstein-Uhlenbeck model

Rachael Hughes ()
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Rachael Hughes: University of Bristol

Statistical Software Components from Boston College Department of Economics

Abstract: xtmixediou fits a two-level linear mixed effects model with an added Integrated Ornstein-Uhlenbeck (IOU) nonstationary stochastic process, which can be applied to balanced and unbalanced longitudinal continuous data. Its accompanying predict command creates a new variable containing predictions (such as linear predictions, standard errors, fitted values and residuals) after estimation of the linear mixed effects Integrated Ornstein-Uhlenbeck model.

Language: Stata
Requires: Stata version 11
Keywords: mixed effects; linear; Integrated Ornstein-Uhlenbeck; longitudinal data (search for similar items in EconPapers)
Date: 2016-10-13, Revised 2017-11-23
Note: This module should be installed from within Stata by typing "ssc install xtmixediou". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/x/xtmixediou.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtmixediou.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtmixedioupredict.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtmixedioupredict.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtmixediou_sv.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtmixediou_display.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtmixediou_predict.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/x/xtmixediou_estimation.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/isPositiveDefinite.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/i/interfacePD.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/m/makePositiveDefinite.mata program code (text/plain)

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