Fellow Statalisters (especially StataCorp):
At the German Stata Users' Group Meeting at Mannheim in 2006, whose Web
page is at
http://ideas.repec.org/s/boc/dsug06.html
Bobby Gutierrez gave a very interesting talk on -xtmixed-, downloadable
at
http://ideas.repec.org/p/boc/dsug06/05.html
which ended with a summary of possible future developments to watch out
for in future versions. One of these possible developments mentioned was
"Degrees of freedom calculations". This seems to indicate that somebody
at StataCorp is thinking of offering alternative degrees of freedom
formulas to the standard e(N_clust)-1 or e(N_clust)-colsof(e(b)), at
least for -xtmixed-.
As I understand it, most alternative degrees of freedom formulas give
the degrees of freedom as a vector with length colsof(e(b)), so that
different parameters of the same model may have different degrees of
freedom. For instance, in the unequal-variance t-test given by -ttest-,
the degrees of freedom is r(N_1)-1 for the first sample mean, r(N_2)-1
for the second sample mean, and r(df_t), calculated using the formula of
Satterthwaite (1946), for the difference between sample means. An
attempt to generalize the Satterthwaite formula to the general
Huber-White variance estimate for the general linear regression model is
discussed in Lipsitz and Ibrahim (1999).
My query is as follows. Does StataCorp have plans, especially plans that
can be revealed, for implementing vector degrees of freedom in
estimation commands? And, if so, will there be a convention for storing
the vector degrees of freedom as an estimation result? (For instance,
the vector degrees of freedom might be stored in a row vector with
length colsof(e(b)), named e(df_vec).) I ask because I am considering
the possibility of introducing vector degrees of freedom for some of my
commands, and would like my programs to use similar terminology to
StataCorp's if possible.
Best wishes (and thanks in advance)
Roger
References
Lipsitz SR, Ibrahim JG. A degrees-of-freedom approximation for a
t-statistic with heterogeneous variance. The Statistician 1999; 48(4):
495-506.
Satterthwaite FE. An approximate distribution of estimates of variance
components. Biometrics Bulletin 1946; 2(1): 110-114.
Roger Newson
Lecturer in Medical Statistics
Respiratory Epidemiology and Public Health Group
National Heart and Lung Institute
Imperial College London
Royal Brompton campus
Room 33, Emmanuel Kaye Building
1B Manresa Road
London SW3 6LR
UNITED KINGDOM
Tel: +44 (0)20 7352 8121 ext 3381
Fax: +44 (0)20 7351 8322
Email: [email protected]
www.imperial.ac.uk/nhli/r.newson/
Opinions expressed are those of the author, not of the institution.
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