Re: st: Stumped...xtmixed and ANOVA F-stats not agreeing for balanced design

["Airey, David C" <david.airey@vanderbilt.edu>]

.

Math is helpful! I think I remember reading the mixed model routine in JMP 9 allows negative estimates of variance components. I don't quite understand the choice between SAS and StataCorp statisticians on this point.


> Except for the residual, mean squares for random effects in ANOVA are functions
> of the variance components, but they aren't the same as the variance components.
> So, the values for variances for s, a and b from -xtmixed- won't be the same as
> the corresponding mean squares in -anova-.
> 
> By setting the mean squares from your ANOVA table against their expectations and
> solving for the variance components, I get the following:
> 
> MS_e = 0.00273899 = sigma2_e
> MS_s#a = 0.012825848 = sigma2_e + 2 * sigma2_s#a
> MS_s#b = 0.014614037 = sigma2_e + 3 * sigma2_s#b
> MS_s = 0.02026831 = sigma2_e + 6 * sigma2_s + 2 * sigma2_s#a + 3 * sigma2_s#b
> 
> sigma2_s#a = (0.012825848 - 0.00273899) / 2 = 0.00504343
> sigma2_s#b = (0.014614037 - 0.00273899) / 3 = 0.00395835
> sigma2_s = (0.02026831 - 0.01008686 - 0.01187505) / 6 = -0.00028227
> 
> You can see that -anova-'s estimate for the variance of s is negative.
> Least-squares (ANOVA) allows negative variance components, but -xtmixed-
> doesn't.
> 
> So the model fit by -xtmixed- is slightly different from the one fit by -anova-
> in this case.  That's why the F statistics aren't the same.
> 
> Joseph Coveney
> 


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