Re: st: Panel mixed-effects models

[Jeph Herrin <stata@spandrel.net>]

If your panel id is panelID, try:

 xtmixed y || panelID: x, nocons

which specifies that x is random across panels but the intercept is not.

hth,
Jeph


On 3/8/2012 1:13 PM, Downey, Patrick wrote:
> Hi David,
>
> Thanks for your response. As you suggested, I misspoke. I meant that I
> expect the individual effects to be correlated with the covariates (X), as
> you said, which violates the assumptions required for random individual
> effects.
>
> I agree with you that it is a bit odd to have random slopes and fixed
> intercepts, but I can't think of anything that would be wrong with it. It
> feels strange, but I haven't found any reason why it shouldn't be possible.
>
> -Mitch
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of David Hoaglin
> Sent: Thursday, March 08, 2012 1:04 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Panel mixed-effects models
>
> The random-effects model does not assume absence of correlation between
> individual effects (e.g., random intercepts) and Y.  Indeed, such effects
> are often the main source of the correlation structure for Y.  Did you have
> in mind the assumption that the random effects are not correlated with the
> covariates (here, X_it)?  It seems a little odd to have random slopes but
> fixed intercepts.
>
> David Hoaglin
>
> On Thu, Mar 8, 2012 at 12:12 PM, Downey, Patrick<PDowney@urban.org>  wrote:
> > Hello,
> >
> > I am trying to estimate a panel model of the form:
> > Y_it = a_i + a_t + B_i * X_it + e_it
> >
> > I would like to use fixed effects for both of the 'a' coefficients
> > because I believe that the individual-effects are correlated with Y
> > (so the assumptions for random effects are not met). That would be a
> > simple two-way fixed effects model. However, I would like to use
> > random effects for the B coefficient. Thus, I want to assume B_i = B +
> > n_i, where n_i is a normally distributed random variable.
> >
> > I cannot figure out how to estimate this model in Stata. It seems that
> > xtmixed should be able to handle it, but with large N or large T, I
> > think there are complications. I couldn't find examples (for xtmixed
> > or xtrc) that use fixed effects for individual- or time- effects but
> > random slope coefficients, although I think this is possible.
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