--- Huseyin Tastan asked:
> I want to analyze variance components of a measure of firm performance (such
> as return on equity) using random effects at three levels: industry level,
> firm level and time level.
>
> I have data on
>
> industries: i=1,2,...,20 (there are 20 industries)
>
> firms: j=1,2,...,1000 (there are 1000 firms)
>
> and
>
> years: t=1,2,...,10 (there are 10 years)
<snip>
> The command I used was something like this:
> xtmixed y || industry: || firm: || year:, variance
>
> This assumes that year is nested within firms and firm is nested within
> industries.
This seems wrong to me: this is a crossed design not a hierarchical design.
I have no experience estimating those with Stata but the manual entry for
-xtmixed- has a section on crossed designs.
HTH,
Maarten
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting adress:
Buitenveldertselaan 3 (Metropolitan), room Z434
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
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