XTVC



Stata help for xtvc

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help for xtvc
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Confidence intervals for the variance component of random-intercept linear models

        xtvc [, level(#) h0(#) ]

 Description

    xtvc is a post-estimation command that presents confidence intervals for the variance component of the random effect based on the
       inversion of a score-based test (Bottai, 2003).  It has to be used after xtreg with option mle (maximum-likelihood random-effects
       estimator).

 Options

     level(#) specifies the confidence level, in percent, for the confidence interval of the variance component; see help level.

     h0(#) performs the score-based test for the null hypothesis H0: sigma_u = #.

 Remarks

    xtvc only provides interval estimates when the number of units (groups) is greater than eight.

 Examples

    . webuse nlswork.dta, clear
    . iis idcode
    . xtreg ln_w grade age ttl_exp tenure, mle
    . xtvc
    . xtvc, l(90)
    . xtvc, l(99) h0(0.25) 

 Authors

    Matteo Bottai, Arnold School of Public Health, University of South Carolina, Columbia, USA and Institute of Information Science and
    Technology, National Research Council of Italy, Pisa, Italy.

    Nicola Orsini, Institute of Environmental Medicine, Karolinska Institutet, Stockholm, Sweden and Institute of Information Science and
    Technology, National Research Council of Italy, Pisa, Italy.
       
  Reference
  
    Bottai, M. (2003) Confidence regions when the Fisher information is zero, Biometrika, 
                  Volume 90, Issue 1: pp. 73-84.

  Also see
           
    Manual:  [U] 23 Estimation and post-estimation commands,
             [U] 29 Overview of Stata estimation commands,
             [XT] xtreg
           

On-line:  help for help for estcom, postest, xt, xtreg

Worked examples for xtvc

Click here to run or save the do-file for the following worked examples and be sure to have an update version. Type

. capture net install http://nicolaorsini.altervista.org/stata/xtvc

. which xtvc
c:\ado\personal\xtvc.ado
*! 1.0 MB & NO 29 Dec 2003

. . webuse nlswork.dta, clear (National Longitudinal Survey. Young Women 14-26 years of age in 1968)

. iis idcode

. xtreg ln_w grade age ttl_exp tenure, mle

Fitting constant-only model: Iteration 0: log likelihood = -13329.68 Iteration 1: log likelihood = -12737.806 Iteration 2: log likelihood = -12654.009 Iteration 3: log likelihood = -12649.927 Iteration 4: log likelihood = -12649.911

Fitting full model: Iteration 0: log likelihood = -9526.9661 Iteration 1: log likelihood = -9494.2161 Iteration 2: log likelihood = -9494.1687

Random-effects ML regression Number of obs = 28099 Group variable (i): idcode Number of groups = 4697

Random effects u_i ~ Gaussian Obs per group: min = 1 avg = 6.0 max = 15

LR chi2(4) = 6311.48 Log likelihood = -9494.1687 Prob > chi2 = 0.0000

------------------------------------------------------------------------------ ln_wage | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- grade | .0740912 .0017969 41.23 0.000 .0705694 .077613 age | -.0044918 .0006627 -6.78 0.000 -.0057906 -.003193 ttl_exp | .0305761 .0011358 26.92 0.000 .0283501 .0328022 tenure | .0135918 .0008528 15.94 0.000 .0119203 .0152633 _cons | .6354504 .0273922 23.20 0.000 .5817627 .6891382 -------------+---------------------------------------------------------------- /sigma_u | .2674938 .0036441 73.40 0.000 .2603514 .2746362 /sigma_e | .2963776 .0013708 216.21 0.000 .2936909 .2990644 -------------+---------------------------------------------------------------- rho | .4489099 .0073479 .4345451 .463342 ------------------------------------------------------------------------------ Likelihood-ratio test of sigma_u=0: chibar2(01)= 8535.81 Prob>=chibar2 = 0.000

. xtvc

------------------------------------------------------------- ln_wage | ML Estimate [95% Conf. Interval] -------------+----------------------------------------------- /sigma_u | .2674938 .2649559 .2796447 ------------------------------------------------------------- Score test of sigma_u=0: chi2(1)= 51741.25 Prob>=chi2 = 0.000

. xtvc, l(90)

------------------------------------------------------------- ln_wage | ML Estimate [90% Conf. Interval] -------------+----------------------------------------------- /sigma_u | .2674938 .2660762 .2783999 ------------------------------------------------------------- Score test of sigma_u=0: chi2(1)= 51741.25 Prob>=chi2 = 0.000

. xtvc, l(99) h0(0.25)

------------------------------------------------------------- ln_wage | ML Estimate [99% Conf. Interval] -------------+----------------------------------------------- /sigma_u | .2674938 .2627947 .2821123 ------------------------------------------------------------- Score test of sigma_u=0.25: chi2(1)= 41.58 Prob>=chi2 = 0.000


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