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

Author

Listed:
  • Rachael Hughes

    (University of Bristol)

Programming Language

Stata

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.

Suggested Citation

  • Rachael Hughes, 2016. "XTMIXEDIOU: Stata module to estimate Linear mixed effects Integrated Ornstein-Uhlenbeck model," Statistical Software Components S458248, Boston College Department of Economics, revised 23 Nov 2017.
    • Handle: RePEc:boc:bocode:s458248
    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.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/x/xtmixediou.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtmixediou.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtmixedioupredict.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtmixedioupredict.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtmixediou_sv.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtmixediou_display.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtmixediou_predict.mata
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/x/xtmixediou_estimation.mata
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/isPositiveDefinite.mata
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/i/interfacePD.mata
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/m/makePositiveDefinite.mata
    File Function: program code
    Download Restriction: no
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