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).
BottaiM.2003. Confidence regions when the Fisher information is zero. Biometrika90(1): 73–84.
2.
BreslowN. E., and ClaytonD.G.1993. Approximate inference in generalized linear mixed models. Journal of the American Statistical Association88(421): 9–25.
3.
Center for Human Resource Research.1989. National Longitudinal Survey of Labor Market Experience, Young Women 14–26 years of age in 1968.Ohio State University.
4.
ChesherA.1984. Testing for neglected heterogeneity. Econometrica52(4): 865–872.
5.
DiggleP. J., LiangK. Y., and ZegerS.L.1994. Analysis of Longitudinal Data.Oxford: Oxford University Press.
6.
GutierrezR. G., CarterS., and DrukkerD.M.2001. sg160: On boundary-value likelihood-ratio tests. Stata Technical Bulletin60: 15–18. In Stata Technical Bulletin Reprints, vol. 10, 269–273. College Station, TX: Stata Press.
7.
LeeL. F., and ChesherA.1986. Specification testing when score test statistics are identically zero. Journal of Econometrics31: 121–149.
8.
McCullochC. E., and SearleS.R.2001. Generalized, Linear, and Mixed Models.New York: Wiley.
9.
RotnitzkyA., CoxD. R., BottaiM., and RobinsJ.M.2000. Likelihood-based asymptotic inference with singular information. Bernoulli6(2): 243–284.
10.
SelfS., and LiangK.1987. Asymptotic properties of maximum likelihood estimators and likelihood-ratio test under nonstandard conditions. Journal of the American Statistical Association82(398): 605–610.
11.
SkrondalA., and Rabe-HeskethS.2004. Generalized Latent Variable Modeling: Multilevel, Longitudinal, and Structural Equation Models.Boca Raton, FL: Chapman & Hall/CRC.
12.
SnijdersT. A. B., and BoskerR.J.1999. Multilevel Analysis: An Introduction to Basic and Advance Multilevel Modeling.London: Sage.