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Re: st: multinomial choice with panel data


From   "Guillaume Frechette" <gurst1@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: multinomial choice with panel data
Date   Tue, 17 Jun 2003 12:10:30 +0000

Hi Guanghui: you should take a look at gllamm which I believe will allow two levels of random effects (although I don't know for certain). If you also want to have laged dep. var. then you need to deal with the initial condition problem. One way to do this is correlated random effects (I include two references at the bottom). To read about random effects ordered probit/logit take a look at any advance textbook in econometrics. You could of course simply estimate an ordered probit/logit and adjust the standard errors via something like cluster which is simpler but biased (and inconsistent at least for logit). Good luck.

@INBOOK{Heckman:1981a,
author = "James J. Heckman",
chapter = "The Incidental Parameters Problem and the Problem of Initial Conditions in Estimating a Discrete Time-Discrete Data Stochastic Process",
editor = "Charles F. Manski and D. McFadden",
title = "Structural Analysis of Discrete Data with Econometric Applications",
publisher = "MIT Press",
address = "Cambridge, MA",
year = "1981",
pages = "179-195"}

@ARTICLE{Chamberlain:1980a,
author = "Gary Chamberlain",
title = "Analysis of Covariance with Qualitative Data",
journal = "Review of Economic Studies",
year = "1980",
volume = "47",
number = "",
month = "",
pages = "225-238"}



From: "Guanghui Li" <guanghui@u.washington.edu>
Reply-To: statalist@hsphsun2.harvard.edu
To: <statalist@hsphsun2.harvard.edu>
Subject: st: multinomial choice with panel data
Date: Mon, 16 Jun 2003 16:27:00 -0700

Dear all,

I have cross sectional time series data on a group of women. In each period,
the women choose from 3 choices: 0, 1 or 2.

Which choice the woman chooses in each period depends on a group of
independent variables and also choices she made in the previous periods.

I want to estimate a multinomial model of the three choices, accounting for
correlations among the observations from the same women, and also
correlations among women residing in the same areas due to cluster sampling.

The fixed effect approach does not serve my purpose because the majority of
the independent variables are time-invariant.

And I am not sure which econometric model to use so that her current period
choice may depend on choices she made in all previous periods. I could
construct two new variables which reflect all her previous decisions. But I
am not sure it is the right way to do.

Thank you in advance for your generous help.

Sincerely,

Guanghui Li



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