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Confidence intervals for the variance component of random-intercept linear mode> ls

xtvc[,level(#)h0(#)]

Description

xtvcis a post-estimation command that presents confidence intervals for the variance component of the random effect based on the inversion of a score-based test (Bottai, 2003). It has to be used afterxtregwith optionmle(maximum-likelihood random-effects estimator).

Options

level(#)specifies the confidence level, in percent, for the confidence interval of the variance component; see help level.

h0(#)performs the score-based test for the null hypothesis H0: sigma_u = #.

Remarks

xtvconly provides interval estimates when the number of units (groups) is greater than eight.

Examples

. webuse nlswork.dta, clear. iis idcode. xtreg ln_w grade age ttl_exp tenure, mle. xtvc. xtvc, l(90). xtvc, l(99) h0(0.25)

AuthorsMatteo Bottai, Arnold School of Public Health, University of South Carolina, Columbia, USA and Institute of Information Science and Technology, National Research Council of Italy, Pisa, Italy

Nicola Orsini, Institute of Environmental Medicine, Karolinska Institutet, Stockholm, Sweden and Institute of Information Science and Technology, National Research Council of Italy, Pisa, Italy

ReferenceBottai, M. (2003) Confidence regions when the Fisher information is zero, Biometrika, Volume 90, Issue 1: pp. 73-84.

Manual:Also see[U] 23 Estimation and post-estimation commands,[U] 29 Overview of Stata estimation commands,[XT] xtregOnline: help for estcom, postest, xt, xtreg