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Re: st: Re: How to get specific coef. in a fixed effects panellogit regression


From   David Greenberg <[email protected]>
To   [email protected]
Subject   Re: st: Re: How to get specific coef. in a fixed effects panellogit regression
Date   Mon, 13 Jan 2003 14:18:20 -0500

The STata xtlogit command withthe fixed-effects option actually estimates a conditional logistic regression model.  - David Greenberg, Sociology Department, New York University

----- Original Message -----
From: Scott Merryman <[email protected]>
Date: Friday, January 10, 2003 8:50 pm
Subject: st: Re: How to get specific coef. in a fixed effects panel logit regression

> ----- Original Message -----
> From: "Rudy Loo-Kung" <[email protected]>
> To: <[email protected]>
> Sent: Friday, January 10, 2003 4:46 PM
> Subject: st: How to get specific coef. in a fixed effects panel 
> logit regression
> >
> > Greetings,
> > I estimated a fixed effects panel logit regression using xtlogit 
> and i need
> > to recover the individual-specific intercepts. Does xtlogit 
> allow to do so?
> > I'd really appreciate some help.
> > Thanks.
> >
> > Rudy Loo-Kung A.
> > Asistente del �rea de Macroeconom�a y Pol�tica Econ�mica.
> > Centro de Investigaci�n de la Universidad del Pac�fico.
> 
> I do not believe this is possible.  The individual effects cannot 
> be estimated
> for a fixed T.  From Hsiao (1986) "Unfortunately, contrary to the
> linear-regression case, the MLEs for ai and B are not independent 
> of each other
> for the discrete choice models.  When T is fixed, the 
> inconsistency of ai is
> transmitted into the MLE for B.  Hence, even if N tends to 
> infinity, the MLE of
> B remains inconsistent"
> 
> The away around this incidental parameter problem is to maximize a 
> conditionallikelihood function that sweeps away the individual 
> effects.
> I hope this helps,
> Scott
> 
> Hsiao, Cheng (1986) "Analysis of Panel Data"
> 
> 
> 
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