Mixed command equivalent in gretl
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Hi,
I am trying to replicate the results of an interesting paper by John antonakis. And they
estimated a few models with mixed command of stata. Do we have ML estimator to replicate
models 7 and 8.
*7 MLE RE with Level 1 predictor, its cluster mean, and Level 2 predictor
mixed y x x_cl z || lead_n:
est store one
*compare above estimate with below using likelihood ratio test
mixed y x z || lead_n:
est store two
lrtest one two
*8 ML RE with cluster-mean centered Level 1 predictor and Level 2
*predictor
gen x_grp_cen = x - x_cl
mixed y x_grp_cen x_cl z || lead_n:
Datafile:
https://www.dropbox.com/scl/fi/fqqenv2jlf5sxp1qe5a0o/antonakis_randomeffe...
Paper:
https://www.dropbox.com/scl/fi/zgqu5mv2doavbv66m3ako/antonakis2019_orm_ra...
do file:
https://www.dropbox.com/scl/fi/8aknnw6lg5qd6p425ox96/antonakis_random-eff...
On 10/04/2026 07:53, Ramki S wrote:
Hi,
I am trying to replicate the results of an interesting paper by John antonakis. And they
estimated a few models with mixed command of stata. Do we have ML estimator to replicate
models 7 and 8.
Estimation of generic hierarchical linear models, like the ones the
stata "mixed" command handles, is not currently available in gretl. It
would be nice if somebody familiar with the literature wrote a function
package for this.
From what I know, all the essential ingredients are already there
(matrix algebra functions, numerical optimisation). I am not in the
position of even attempting this yet, but I can help anybody who feels
like trying.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
Am 10.04.2026 um 17:44 schrieb Riccardo (Jack) Lucchetti:
On 10/04/2026 07:53, Ramki S wrote:
> Hi,
>
> I am trying to replicate the results of an interesting paper by John
> antonakis. And they estimated a few models with mixed command of
> stata. Do we have ML estimator to replicate models 7 and 8.
Estimation of generic hierarchical linear models, like the ones the
stata "mixed" command handles, is not currently available in gretl. It
would be nice if somebody familiar with the literature wrote a
function package for this.
From what I know, all the essential ingredients are already there
(matrix algebra functions, numerical optimisation). I am not in the
position of even attempting this yet, but I can help anybody who feels
like trying.
Or this might be a case where a wrapper around an existing R package
could be more promising. Similar to the random forest approach.
I certainly don't want to stop anybody from contributing a hansl-based
package, but I'm a bit skeptical in the short run.
cheers
sven
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Ramki S -
Riccardo (Jack) Lucchetti -
Sven Schreiber