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RE: st: Vector degrees of freedom in Stata


From   "Feiveson, Alan H. (JSC-SK311)" <[email protected]>
To   <[email protected]>
Subject   RE: st: Vector degrees of freedom in Stata
Date   Wed, 11 Apr 2007 15:21:08 -0500

Roger, Stas, Bobby (or anyone else)

Are there any results (published or unofficial) that suggest that
computing P-values using a t-distribution with pseudo degrees of freedom
consistently gives more correct inference with -xtmixed- than simple
Wald tests? Or is this not what you guys are talking about?

Al Feiveson


-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Roberto G.
Gutierrez, StataCorp
Sent: Wednesday, April 11, 2007 3:09 PM
To: [email protected]
Subject: Re: st: Vector degrees of freedom in Stata

Roger Newson <[email protected]> inquires about vectorizing
degrees of freedom calculations in -xtmixed-, and other Stata estimation
commands for that matter:

[...]

> 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.

While we have thought of doing this with -xtmixed-, as of this time such
consideration would be specific to only that command.  As such, you are
unlikely to stomp on any Stata general convention for how these things
are handled.  Who knows, we may even decide to go with your way.

--Bobby
[email protected]
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