Matteo Bottai () (Arnold School of Public Health, University of South Carolina, Columbia, SC, Institute of Information Science and Technology, National Research Council, Pisa) Nicola Orsini () (Institute of Information Science and Technology, National Research Council, Pisa, Institute of Environmental Medicine, Karolinska Institutet, Stockholm)
Additional information is available for the following
registered author(s):
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.
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.