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Confidence intervals for the variance component of random-effects linear models

Author

Listed:
  • Matteo Bottai

    (Arnold School of Public Health University of South Carolina)

  • Nicola Orsini

    (Division of Nutritional Epidemiology, Institute of Environmental Medicine, Karolinska Institutet)

Abstract

We present the postestimation command xtvc to provide confidence intervals for the variance components of random-effects linear regression models. This command must be used after xtreg with option mle. Confidence intervals are based on the inversion of a score-based test (Bottai 2003). Copyright 2004 by StataCorp LP.

Suggested Citation

  • Matteo Bottai & Nicola Orsini, 2004. "Confidence intervals for the variance component of random-effects linear models," Stata Journal, StataCorp LP, vol. 4(4), pages 429-435, December.
    • Handle: RePEc:tsj:stataj:v:4:y:2004:i:4:p:429-435
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    References listed on IDEAS

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    1. Lee, Lung-Fei & Chesher, Andrew, 1986. "Specification testing when score test statistics are identically zero," Journal of Econometrics, Elsevier, vol. 31(2), pages 121-149, March.
    2. Matteo Bottai, 2003. "Confidence regions when the Fisher information is zero," Biometrika, Biometrika Trust, vol. 90(1), pages 73-84, March.
    3. Roberto G. Gutierrez & Shana Carter & David M. Drukker, 2001. "On boundary-value likelihood-ratio tests," Stata Technical Bulletin, StataCorp LP, vol. 10(60).
    4. Anders Skrondal & Sophia Rabe‐Hesketh, 2007. "Latent Variable Modelling: A Survey," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 34(4), pages 712-745, December.
    5. Chesher, Andrew D, 1984. "Testing for Neglected Heterogeneity," Econometrica, Econometric Society, vol. 52(4), pages 865-872, July.
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    Cited by:

    1. Matteo Bottai & Nicola Salvati & Nicola Orsini, 2006. "Multilevel models for analyzing people’s daily movement behavior," Journal of Geographical Systems, Springer, vol. 8(1), pages 97-108, March.

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