Can Stata perform ANOVA with both random and fixed effects and estimate the variance components?
Yes, Stata has several commands for doing most everything that SAS’s PROC GLM and PROC MIXED do. They include the “glm” and the “xt” set of commands. However, I don’t believe Stata can estimate variance components in a linear model with more than two levels of random errors (which it can do with xtreg ). Although Stata has a “general” ANOVA package, you have to tell it which are the appropriate error terms for testing various effects in complicated mixed and/or partially nested models. Even so, it won’t provide estimates of the variance components.
