STATA can't handle TOEPLITZ 1 (MDEPENDENT(1)) and AR(1) when bootstrapping mixed models

[Jan Hagberg]

TOEPLITZ 1 (MDEPENDENT(1))

bootstrap, reps(20) seed(1) saving(mdep1test): mixed Pain i.RANDOM W W2 W1 RANDOM#c.W1#c.W, || ID:, noconstant residuals(toeplitz 1, t(t))
(running mixed on estimation sample)

Bootstrap replications (20)
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
xxxxxxxxxxxxxxxxxxxx
insufficient observations to compute bootstrap standard errors
no results will be saved
r(2000);

AR(1)

bootstrap, reps(20) seed(1) saving(ar1test): mixed Pain i.RANDOM W W2 W1 RANDOM#c.W1#c.W, || ID:, noconstant residuals(ar 1, t(t))
(running mixed on estimation sample)

Bootstrap replications (20)
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
xxxxxxxxxxxxxxxxxxxx
insufficient observations to compute bootstrap standard errors
no results will be saved
r(2000);

EXCHANGEABLE

bootstrap, reps(20) seed(1) saving(exchtest): mixed Pain i.RANDOM W W2 W1 RANDOM#c.W1#c.W, || ID:, noconstant residuals(exch, t(t))
(running mixed on estimation sample)

Bootstrap replications (20)
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
....................

Mixed-effects ML regression Number of obs = 3,224
Group variable: ID Number of groups = 62

Obs per group:
min = 40
avg = 51.2
max = 52

Wald chi2(6) = 1619.72
Log likelihood = -5665.6279 Prob > chi2 = 0.0000

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INDEPENDENT

bootstrap, reps(20) seed(1) saving(indeptest): mixed Pain i.RANDOM W W2 W1 RANDOM#c.W1#c.W, || ID:, noconstant residuals(indep, t(t))
(running mixed on estimation sample)

Bootstrap replications (20)
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
....................

Mixed-effects ML regression Number of obs = 3,224

Wald chi2(6) = 1291.49
Log likelihood = -6253.7152 Prob > chi2 = 0.0000

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The same problem occurs if you try to use a fixed toeplitz 1 correlation matrix.


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[Jan Hagberg]

The problem is solved by Andrea Discacciati; use cluster and group.
I.e. bootstrap, reps(20) seed(1) cluster(ID) id(ID_New) group(ID) saving(mdep1test): mixed Pain i.RANDOM W W2 W1 RANDOM#c.W1#c.W, || ID:, noconstant residuals(toeplitz 1, t(t))