> You could of course use the -geqs()- option of -gllamm- to model the
> random effects as dependent variables in the same model. However, what
> do you think about using the estimated standard deviation of the random
> effects to calculate a probability weight and use that probability
> weight in a second model?
Well I am not sure I see how this would be done. Stata does have the
analytical weights that are related to variances... but here you've only
got one estimate, not observation-by-observation variances. The estimate
of the RE variance is consistent (provided there is no model
misspecification of course), so you can use it in any way you want. That's
my view on this.
--- Stas Kolenikov
-- Ph.D. student in Statistics at UNC-Chapel Hill
- http://www.komkon.org/~tacik/ -- [email protected]
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